When it says "Do Not Disconnect" you don't want to eject it in an inproper way. That could easily ruin data on your iPod, leading to errors on it, leading to an eventual problem in the future.
If it's stuck on that screen even when you try to eject it the proper way, or it's not being recognized by iTunes or your computer, try shutting down your computer. I don't know if you're using a Windows computer or not, but I've never had this problem on my Mac; I did back in the day when I used a Windows machine, and that seemed to do the trick.
For future refence, ALWAYS eject your iPod properly. You'll save yourself an agonizing headache in the future.