lol. The reason it says "Do not disconnect" is because if you unplugged it, the hard drive might still be doing something, and you might lose data. So what do you do?
To unmount any volume, including CDs (like to eject them), or when you're done with an external hard disk, like the iPod, simply drag its desktop icon to the trash in the Dock to "eject" it. Or, alternatively, you can press the "eject" button beside the iPod icon in iTunes.
Once you've "ejected" (unmounted) the iPod, you'll see that the screen says something like "okay to disconnect" with a big check mark. Then you can unplug it.