Device removal warnings

I currently have a DVD and external hard drive plugged into my Mac. When I try to eject these a Device warning flashes up onto the screen telling me to close applications which may be in use. To my knowledge I do not have any applications running. I have tried to shut down the computer to see if that helps. I have tried to eject them through Disk utilities. And now as I write this I have the Device warning flashing up constantly reading as if i have removed the device and it is warning me that i might of lost data and instructing how to remove safely. How can I make the computer eject these devices. Obviously I can just unplug the hard drive but how do i get the cd out? Help!

There are 2 main culprits for these messages. Ensure Preview is Quit and ensure QuickTime player is quit, and DVD player as well.

Even with no windows open they hold onto files on the external media and complain when ejecting.

HI Thanks for your reply! I have re-opened all of these programs and closed them all again. I have tried force quit but they are not showing in this dialog box either. How else could I find the open file from the CD? We have just had a new hard drive installed... now i think i want to throw the computer out of the window!!! :-)

You are pressing the Eject button before removing them???

There is a small eject button beside each device in the Finder Window sidebar.