That depends on your configuration.
If the drive you want to change is installed in the peripheral bay, you have to turn the machine off before you can pull that drive out. Also: Hot-plug drive installation is not supported for systems without an integrated RAID controller or host adapter expansion card!
Look for more details on how to change a drive
here.
If you have any more questions, just come back here and leave a comment - I'm happy to help.
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