Edited
Okay this is a typical thing with Ipod and Windows.
Here is what I do.
1) Close Itunes
2) Open Itunes back up
3) In the left panel of Itunes your Ipod should be listed.
4) To the RIGHT of it is a grey arrow pointing up
5) Click on it, this will "eject" your Ipod and the message should go away and then you can safely remove the Ipod from the computer