Hello lysie,
And welcome to Apple Discussions!
This message will appear on your screen as long as your iPod is connected to your computer and you have not ejected it from Finder or iTunes.
[About the Do not disconnect and OK to disconnect screens for iPod|http://support.apple.com/kb/ta44686?viewlocale=en_us]
If your iPod appears frozen on this screen, have you tried a simple reset? To do this, toggle the hold switch on and off, then press and hold the
Select (Center) and
Menu buttons together until the Apple logo appears.
Otherwise there is something else going on here that is preventing your iPod from syncing with iTunes. How do you have it set up to sync?
B-rock