this problem often happens when "Writeback Caching" aka "Lazy Writes" are enabled for a removeable device. This feature is also known as "Optimize for Performance" in some Windows operating systems.
What could be happening in your case is that you had created a file or folder or were writing (backing up???) a file or files (often occurs when writing a large volume of data - either one large file or many files). The indication that you were copying to your external storage device had vanished from your screen, *BUT* the data was *NOT* yet fully written to your ext. storage device. It was being cached and would be written at a more opportune moment, i.e. when the "bus" was quiescent and not being used by another process.
Before this unwritten data in cache could be written out, the ext. storage device was manually disconnected (aka "not safely removed").
What may correct this situation is to reconnect the SAME ext. storage device (some aspects of your description leads me to believe that you may have had a different device plugged in at some point - this used to happen more frequently in the floppy disk "era", but happens nowadays with multiple flash-memory devices and ext. HD's) and see if the write-back caching finishes - please wait up to two minutes (not sure of the maximum write-back delay on your system - common times are 10sec to 1min; some older OS's could wait up to 10min in extreme cases).
also, make sure to perform an orderly (aka "civilized") removal of the device under software control and wait until the OS tells you that "you can now safely remove the device" (or some such wording), i.e. just don't manually unplug the device. please use the software initiated and assisted "civilized" removal process appropriate for your particular OS.
if you are using some "flavors" of the Windows OS, you can change the hardware policy from "Optimize for Performance" to "Optimize for Quick Removal" (i do this for all of my ext. storage devices - both ext. HD's and so-called thumb/key "flash-memory" drives/devices). this will disable write-back caching so that when the OS's/application's (as the case may be) indication that a file has finished being copied/written/saved, the operation is truly complete as no write-back caching occurs. also, the device may be simply unplugged without performing a "safe removal" under software control *IF* the caching policy is changed to "Optomize for quick removal" (much more convenient, IMO).
to perform this change under some "flavors" of Windows, do the following:
1. open My Computer
2. right-click on a drive
3. select the Properties menu-item on the context sensitive right-click pop-up menu that appears in response to step#2 immediately above
4. click the Hardware tab
5. click the drive in the list that you want to change the caching "Policy" for.
6. click the Properites button
7. click the Policies tab
8. click the "Optimize for quick removal" option button (aka "radio button")
9. click "OK"
10. click "OK"
11. close My Computer.
12. you're done.
please Post-back if this procedure is unclear or i have misunderstood the nature of your problem.
EDIT:
if all else fails, you could try to reboot. oh,...BTW, the file that was not properly closed out, or only partially written to your ext. storage device at the time that the device was unplugged/removed from the computer might be corrupt unless the "lazy write" is able to finish/complete whatever it was doing (e.g. writing out the file, or "closing" the "fully" written file).
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Are you kidding? It has a bunch of nice aluminum! I'm going to take it apart for scrap metal! 
