Typically an iPod that always says "Do Not Disconnect" is either in manual mode or disk mode.
If you are in manual mode, you typically drag songs and drop them on your iPod. You can do this with the podcast too.
If you are on disk mode, then music and podcasts could be manually managed like above or automatically sync'd. The iPod can be also be used as a thumb drive.
To get your iPod to disconnect properly, click the Eject button next to the iPod name, and it should disconnect from your computer and the screen will change the message to "OK to disconnect". If it does not, there is an icon on the start bar to Safely Eject devices, click on it, then click on the iPod.