I have a different game I have to play out when using my USB HDD (also XP).
Wanting to close it, I click on the icon in the task bar, then Stop button having selected one of the two descriptions of the device that are offered.
It ALWAYS comes back saying it can't stop it because a program is accessing it (lie).
Repeat the above but click on the other device description. 'That will do nicely, sir. You can safely disconnect it now'.