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I find that it's sometimes difficult to remove FireWire hard drives from my system without shutting down first. Windows complains that the unit cannot be removed because files may be open. However, if you press Start and then hit "Shut down" -- but don't really shut down -- the system seems to flush files to the hard drive and close open system files. You can then safely remove the hard drive without rebooting.
Also, emptying the recycling bin is a good idea before removing an external hard drive because the recycling bin seems to span multiple hard drives. Emptying the bin is another step you can take for safe drive removal.