This is normal. There is not a problem. You simply have to go into your iTunes program and 'eject' the iPod. The eject icon is a triangle over a bar just to the right of where it lists your iPod on the left column in iTunes.
Roll your cursor over the triangle and press once. After just a couple of seconds, your iPod will be ready to disconnect and the "do not disconnect" logo will disappear.
Good luck,
Frank