What sort of drive is it? I'm assuming it's a USB one, in which case, in Windows you should be able to choose "Safely remove hardware" from the appropriate icon in the system tray on the right of the taskbar.

This finishes all writes to the disk before reporting that it's safe to turn off/remove, since turning it off while the drive is in the middle of a write operation is likely to damage not only the date it's trying to write but also data in other locations on the disk.

EDIT: I should learn to type faster.