Just don’t format the drive until you get the important files off the drive. That’s fine, because other applications do. This message appears because Windows doesn’t understand Apple’s HFS+ file system. When you connect a Mac-formatted drive to Windows, you’ll be informed that “you need to format the disk in drive X: before you can use it.” Don’t click the “Format disk” button or Windows will erase the contents of the drive–click “Cancel”!