“Safely Remove Hardware” does not remove power to a USB device in Windows Vista
A USB flash disk is connected to your computer, for example a SanDisk Traveler 1GB. After you click the “Safely Remove Hardware” icon, a message pops up to tell you that you can disconnect the device safely.
However, the device it still powered; The LED light is still on. On the other hand, the device will be powered off in Windows XP when you click the “Safely Remove Hardware” icon.
For more information on this issue, including potential causes, workarounds, and resolutions, see: Microsoft KB Article KB971899.