Well this is a windows message we never want to see nor is there a definitive cause for it. First - did you properly eject the USB device/drive?
I would suggest:
1) Try every USB port on the machine (and an alternate usb cable)
2) Boot the machine with the drive on and plugged into USB
3) Boot into safemode with the drive on/plugged
What happens if you hit cancel? Can you see the device in "My Computer", does the machine show a usb device attached? Is the file locking software on your pc hd or the external hd with the lockable folder?
You could check this out - it might be outdated, also see if the manufacturer has a knowledge base for this kind of error. You receive a "Disk in drive <X> is not formatted" error message when you try to access an SD or MMC drive
Hopefully something helps - It sucks when these things crash.