If you have a USB external drive in Windows, you can right-click it and unmount it before unplugging. But if this USB drive is Mac formatted and mounted with the helper app MacDrive, the "Unmount" option is gone from the contextual menu. How can I safely remove a Mac formatted volume under Windows?
This is according to Mediafour (makers of MacDrive): How To...Safely remove drives from the computer
Even though FireWire and USB devices are Plug & Play (i.e. they are ready to use upon being plugged-in), you should not just unplug them. By unplugging a drive with a "hot" connection, you can corrupt data on your hard disk or other storage device. It is important to note that even disconnecting a device improperly one time can cause file system corruption.
You can prevent such problems by clicking the "Unplug/Eject" or "Safely Remove Hardware" icon in the system tray (down by the clock). The icon looks like a gray box with with a green arrow on top.
You'll then be given a list of removable devices that are currently connected to your computer. Highlight the device you would like to remove and click "Stop".
Windows should then prompt you that it is safe to disconnect the device. If not, this is an indication that some part of Windows is using resources on the disk. To clear this, reboot your computer and before doing anything else, try the above instructions again.