Whenever i want to remove external storage device ( USB pen drive / USB mp3 player) from my system by clicking the safely remove icon , the message appears " .... Device Can not be stopped because a programme is still accessing it. " although i closes all the programs associated with the device. Thanks.

   It could be something like Windows Explorer that is accessing it.
   I don't think that there is a real problem with just removing the device without using the Safely Remove icon.

Some other program may be accessing your drive, e.g, an indexing program, an automatic defrag program.
Removing the USB drive will usually not cause problems in XP (I don't know about Vista). But if you are using Windows 2000, you may lose data. My understanding is that Windows 2K writes the data to the drive when you click 'Safely Remove', but Win XP writes the data immediately.
You could test this by writing a small text file to the drive, then remove it without using SafelyRemove. If the file is on your drive when you re-insert it, it is safe to remove it, although if there is another program indexing it, you may get some error messages. If you lose the file, you may have to reboot to be able to remove it.

I have the same problem with my desktop computer. Safely Remove Hardware works OK some of the time. At other times it disappears completely. It is showing in the system tray now. Double clicking brings up a window entitled "Safely Remove Hardware" with "USB Mass Storage Device" highlighted. Clicking "STOP" brings up a list of 7 items headed "USB Mass Storage Device", then "Generic volume (I)", then Generic USB MS Reader USB Device", these last two are then repeated for three more drive letters. These letters correspond to four of my six USP ports. If I choose any then click "STOP" the Safe to Remove Hardware ballon appears. Clicking this causes the icon in the system tray to disappear, and also the window. Most odd. However ignoring Safe to Remove abd removing USB devices seems to cause no problem that I have detected.
Wychwar