Windows identified the volume, could not interpret the structural information about that volume (i.e., “the file system”), and therefore offered to do what it does best: create a new one. It's almost certain that your files have not disappeared; instead, it was a few KB of file system description that failed.
“Access is denied” is an access rights error. “The parameter is incorrect” is a file system corruption. “Not formatted” indicates that the partition structure is missing. There are three possible failures here, and none of them calls for a format.
This message will appear on your computer if Windows can see a disk that it does recognise as a piece of hardware but cannot read as a file system. There are several reasons this can happen and almost none of these mean that you have lost your data.
Windows is trying to help you by offering to format, but it's helping in the least helpful way possible. When you accept the formatting request, it will replace your current file structure with a completely blank one, essentially making a recoverable issue much worse than it needs to be.
Press Cancel on the prompt. Next, determine which of these four common types of issues apply:
File system damage. Either the boot sector or the master file table (MFT) has become damaged, often due to improperly removing the external device or a sudden interruption in power while attempting to write data to the disk. Your files are still safe and exist below their now-damaged file system.
An encrypted drive out of its enclosure. Western Digital My Passport and My Book encrypt at the bridge board. A bare drive from one of these will always present this error when used without its case. Return it to the case.
A bridge board fault. On external devices, there exists a circuit board that translates the information stored on a disk to USB. This board has developed faults and is providing nonsensical output. Often the disk itself is perfect.
Physical degradation. The disk cannot properly read what's written to the area of the disk containing the file system. This can be accompanied by other symptoms such as the disk becoming slower or producing noise; if so, then this is the likely cause and it is urgent.
Not always. A quick format writes a new file system; your data remains where it was. Do not use that drive again, and you can usually recover much of what was on there.
Common. If a write to the disk is interrupted, it leaves the file system in an inconsistent state. But generally, each file remains intact.
Switch it off at once and treat it as urgent. There is physical damage going on with the hardware in addition to logical errors.
A free diagnostic is provided with each item, after which the price is fixed (from £250 +VAT for cards / USB media and from £300 +VAT for drives).