That's interesting.
What I think might've happened, is it was in the middle of a read/write when you removed it, corrupting the data on it. When you plug it in, and Windows looks at it, it doesn't see a FAT32/NTFS file format (instead it just see's an incoherent jumble of binary) due to the corrupted files and instead prompts you, "To use this, it needs to be formatted.".
If you hit 'Don't reformat', does it still show up in explorer as drive Z?
Yes, i can click it and it just asks if i want to reformat again.