Before you remove a USB drive in Windows you're supposed to locate the "Safely remove hardware" icon in your system tray, right-click this and choose the drive you'd like to "eject". Which is tedious, and easy to forget, but if you don't do it then you may find you lose data which hasn't yet been written to the drive.
An alternative approach is to use RemoveDrive to prepare the drive for safe removal - it's a command line tool, but very easy to use.
Unzip the application files into a folder somewhere, then right-click RemoveDrive\Win32\RemoveDrive.exe and select Create Shortcut.
Next, right-click the shortcut and specify the drive you'd like removed at the end of the Target property. So, for example, they might look something like one of these (with obviously an appropriate path for your system):
"C:\Users\Mike\Downloads\removedrive\Win32\RemoveDrive.exe" "Corsair Flash Voyager"
The first tries to remove the specified drive; the second uses the friendly name of the drive; the third uses wildcards and tries to remove the first drive with "Flash" in its name.
Of course if a file is open on the drive then the program won't be able to remove it. So you might want to use the -L loop switch, something like this:
"C:\Users\Mike\Downloads\removedrive\Win32\RemoveDrive.exe" K: -L
RemoveDrive will then keep trying to remove the drive until Windows allows it.
When you're happy, just keep that shortcut somewhere safe (pin it to your taskbar on Windows 7, say) and in future it'll only take a quick click to safely remove your target drive.
A handy command-line tool which will help to ensure you don't lose data when working with USB drives