If I understand this correctly...
You have the Sony Reader Library open and your Sony connected to your computer.
It shows the do not disconnect on the screen of the Reader.
This is what I do...
Click the little "thingy" next to Reader in the left hand side of the Reader Library. That disconnects it.
Then I close the Reader Library, then finally I unplugged the USB.
It will show the spinning circle as it loads the file. Then it will show the menu and it is ready to use.
I hope this is what you meant and it was understandable.