It's a message that pops up when you take an external storage device out of a system too soon, before the data could be saved to it. Were you downloading a book at the time?
On your PC, when the device is plugged in, you should see an icon in the notification area at the bottom right hand corner of your screen and that icon is the Safely Remove Hardware button. Click on that before you take the USB plug out and click to Stop that device. That gives Windows time to finish what it's doing so you don't lose any data.