iPhone and "Safely remove" option?

Hi, I'm not sure whether this belongs here. I just got my iPhone 4, when I connect it to iTunes 10.1.1, it syncs and everything. When I go to "safely remove hardware", I cannot find the USB icon for the iPhone on my computer, so I had to unplug it without the safe remove. Is this common for iPhone to not show up as an USB device? (Although I do hear the Windows sounds of a USB when plugging in and unplugging?