Do not disconnect appears on screen?

I would first try to hard reset the iPod:

press and hold the menu and the select button at the same time for about 6-10 seconds, the iPod should now restart

try this with the disconnected iPod, if the screen won't go away with the hard reset, try this:

connect the iPod to your computer and wait antil it get's recognized - then restart the computer with the connected iPod - don't close any programs before restarting- let the system handle that and right after the computer restarted - the message "ok to disconnect" should appear - when the message apears - unplug the iPod(had this yesterday with an iPod 5g)