In my experience, with Windows Vista, my HD500 doesn't show up with other USB attachments in the eject safely icon. So I have always just pulled the USB cable from the computer (because I am generally going to be using the HD500, and so I leave it on).
Of course, I never do that while I'm updating setlists in either direction.
That's not to say that I'm doing it correctly; it's just the only way I've found to disconnect conveniently, and it hasn't so far created a problem for me. YMMV.