No offence to you mate but I see same Q's here every day and all answers are in Q&A in above sticky, but I will answer you for now as a show of good faith.
SATA is (depending on your mobos controler) hot plugable, so you can add/remove drives as windows runs, obv this is once you have actually installed them primary, the pins on the power and sata connection have a staggered earth pins so it earths (grounds) 1st and opposite when unplugging, this stops it shorting out like EIDE would do.
The fact you have that icon in notification area is proof your mobo fully supports, you best check it to see if its set same as my usb card readers where it will not need you to click "safely remove hardware" as its set for "optimise for quick removal" which has write cache dissabled so will be slower or does it infact have "optimise for performance" where write cache is enabled, and you must choose "safely remove hardware" before removing it.
If this icon is bugging you simple hide it always, you can still see it hitting little button next to it if need be.