It seems many people using WD external drives come across this problem. Plug and Play means the drive has files that it downloads to your computer first to get it to work properly. However, those files could be old, causing the problem.
Try going to this site (https://support-en.wd.com/app/products/downloads/softwaredownloads) and re-installing whatever software it downloaded to your computer (match the icons there to whichever icons are showing up on your desktop and download those). That worked for me a year ago.