QUOTE(peterx @ Dec 14 2006, 04:45 PM)

How to set it to "Optimize for fast removal"?
This is one way:
Start > Control panel > If in Windows XP Category view, click Performance and Maintenance > System > in the "System properties" window click the "Hardware" tab > In the Device Manager section click " Device Manager" > In the options tree, expand "Disk Drives" (left click on the + (plus sign) in front of "Disk Drives" > right click on the drive in question and select "Properties" > click the Policies tab. Select whatever options you want.
Your best bet however is just finding what is keeping the flash drive open. It can even be a Windows Explorer session that you displayed the drive with and did not click on another drive before clicking on Safely Remove Hardware.