@Sarah: Yeah, it “unmounts” the drive, which ensures that everything on it was closed. Mounting and unmounting is well-understood by the users of most operating systems, but Windows hides it, prefering to automount media as it’s added (incidentally, this is why earlier versions of Windows would sometimes “freeze” when you inserted a CD – the operating system was waiting for it to finish mounting – and throw a hissy fit of cyclical abort/retry/fail messages if you removed a CD what was in use).
Unmounting the pendrive ensures that you certainly don’t have any files left open or half-saved, which could prove disastrous later. On the other hand, if you’re reasonably sensible about not pressing “save” in your application and then *immediately* pulling the drive out, you’ll almost always be safe anyway, making the action a little pointless. Especially now, with many pendrives having blinking LEDs on them to show when they’re being used, it’s somewhat silly.
(substitute pendrive for portable hard drive, mobile phone, camera, or whatever else you connect as a mass storage device, accordingly)