In Windows, you can also globally disable write caching. In XP, you do that from Control Panel (System Settings / Hardware / Device Manager / Disk Drives); choose the drive; right-click; choose Properties / Policies; and select "Optimize for quick removal").
That way, it will always be safe to remove the device without going through the eject process, but at the cost of a very slight increase in the time it takes to write to the device (which you probably will never notice).
Mike
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