Problems ejecting my USB flash drive

I recently acquired a USB flash drive which I'm using with my Intel iMac.
frequently, when I try to eject it by dragging the disk image to the trash icon (which turns into an eject icon for this purpose), I get an error message "The disk is in use and could not be ejected. Try quitting applications and try again.
I cannot work out which application I need to close ... I have been through every icon on the dock and made sure everything is shut - bar Finder and Dashboard which you don't seem to be able to close??
Any advice would be much appreciated - I'd like to just be able to eject the flash drive so it can be safely removed from the USB port, without having to shut down.

When you erase the drive, you'll see several format options. Mac OS Extended (and Mac OS Extended - Journaled) are the best choices, if you're going to use the drive with Macs only. If your going to exchange files with PCs, the DOS format is best.

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