Avermedia Game Capture HELP

Hi would appreciate it if someone could help me with an issue that keeps happening. I bought the avermedia game capture HD and it records fine ( i can watch the video's back through the piece of hardware ) however when i remove the portable USB storage that has the files on it, my computer asks me to format.

This wouldnt be an issue except all the recorded video is wiped clean which kinda defeats the purpose... I have formatted before and the drive's folder opens but after re-connecting and recording more footage it will ask me yet again to format as soon as i try to open the drive on my computer. Any help would be appreciated alot!

Cheers, Scott