Do you have a NTFS formated external hard drive?
When using that file system, there is ALWAYS some files open. This the transactional journal and the Master File Table.
Then, unless that drive have been set to performance instead of safety, it's safe to disconnect it as the safety mode disable the write cache of the drive, thus preventing any data loss or corruption.
If the drive was set to performance and do use it's write cache, dumping a large throw away file to the drive will ensure that any legitimate data will get effectively writen to the disk. The scratch file should be something like about 8 to 16 Mb in size, or the actual size of the drive's cache.

Is Windows explorer open? If the content is visible, then you probably can't shut down the device. It can keep a device buzy as long as there is at least one explorer window open, even if it's minimized. The content of a device may not need to be displayed. There is a chance that if you moved, copied or deleted any file, that the explorer will keep that device buzzy untill all windows are closed.
Close any explorer window and use the icon in the notification area.

Then, it's possible that the hard drive may cause a miss interpretation of the other medias. It's also possible that Windows gets confused if there are to many devices connected at the same time, especialy if you use an USB hub or some other multiple connection adaptor or concentrator.
Shut down the external hard drive first, then try to safely disconnect the other medias one at the time. As soon as one device have a success result, remove it. Continue with the others.

If every thing else fails, shut down the computer. This will force every devices connected to be released. When the computer is off, you can safely remove any devices.

If a device become unaccessible after been improperly disconnected, it may possible to save it be reformating it. Be sure to use the same file system as the original one, specialy for your camera.