There are various free programs that you can run to try and retrieve the data. Recuva is one, but if it's corrupted then there is little to no chance that you can get it back. A word of caution, I have removed a USB storage device hundreds and hundreds of times in the 'unsafe manner' from a windows pc and had no issues, but the 2 times I've done it on a Mac the drive has gotten corrupted. Mac seems to be much more sensitive about USB storage removal, so going forward remember to always eject the drive before taking it out.