USB Guard is quite simple to use. Download and extract it. Put the ‘Free USB Guard’ executable on your USB drive and run it. It will remind you if you try to shut down or logoff the system without removing the USB drive (see image below).
USB Guard is also able to remind you, if you forget a disc in the DVD drive. Install it on your computer and it’ll block the shutdown or log off process allowing you to take out the DVD disc from the drive. You can enable this from program’s preferances. USB Guard can be downloaded (100KB) from developer’s site here. It supports Windows XP, Vista and 7 (32bit/64bit)