Windows keep saying insert the disk of the usb storage device

Hello,
i just buy a usb mass storage device and I try to copy some video to the device. when I copy about 70% complete, I accidentally click cancel. and I plug the device to my phone and it say nothing in the device. so I insert back into my computer and see what happens. when I insert, the computer keep asking me to format the device. so I click the format but the computer say the device was format incomplete. and, I try the second time. this time, the computer say plz insert the disk of this device. I don't know what was going on, plz someone help me. I need the reply ASAP. thaknks :)