It depends upon your operating system. In all likelihood, everything is fine, and the message flag is the only issue.
Does the Fuze operate normally when unplugged? There may be a Windows issue while it is recognizing the device ID and trying to establish a connection. The message can pop up if the driver has not loaded completely. It should load in a few seconds, despite the message. This happens occasionally with the e280 and Windows XP SP3 on my end.
Perhaps, Microsoft should add a woman’s touch to the interface. We need a second popup that states, “Oh, never mind!”
Otherwise, open the Devive manager, and select uninstall for the Fuze. Disconnect, wait a wee bit (at least 30 seconds), then plug in again. Hopefully, all will reinstall properly, and your moody interface will no longer plague you.