I get the following prompt when I plug in my device. It's a handy tool, when you want to move or use media. When I don't need it, I simply close the window.
You should also have a "Safely Remove Hardware" icon in your open tasks, make sure and use it. If not you will mess up files on your SD card. Won't screw up all the time, but I guarantee you it will eventually. From the pictured screen select stop, then ok on the next. Then you can close it and remove the USB from your device without issue.