Downloading songs from external hard dirve

I'm using an external hard drive to download songs to itunes. When I'm done syncing, I get a message saying my ipod cannot be ejected because some of the files are being used by another source. Somehow I think some of the files from the external hard drive got downloaded onto the internal hard drive. I'm not super computer literate but I really don't remember doing anything other than moving the file from the external hard drive to iTunes. Why is this happening and what do I do to fix it?