Not a very safe option in all.
Open Device Manager and look for USB Root Hub listings. Click to open them until you find the drive where the particular device is plugged in. Stop it and you should get the appropriate message. Close dialogs and unplug.
Sometimes the PC will offer this option on it's own. If I remember correctly that happens when you right click the Task Bar balloon. - or left on the line telling you not to unplug.
General tip. Never take fright through your hands. Think first. It takes one to see one.