sick of "you cannot stop your USB device right now"

[Homeslice]

Another clueless question about computers.......Is it fine to remove your USB thumbdrive even when you get that stupid message? I already closed the document I was using, but it still keeps telling me I shouldn't remove it yet. Usually the only way to stop getting that message is if I close down the whole app that was using that file (like Excel). And I don't want to do that.