weird that it doesn't show up at all, it could be broken. Check it on other devices, PC, another mac, Ps3, whatever you can.
If it does turn out to work, you can format it through the mac, but for some reason, only by a specific way.
Normally, you would go to Disk Utility, and select the "Erase" tab, enter a volume name and select "MS Dos File System", but on small thumb drives, this option fails to work. What the mac does, is formats it as FAT16 instead of FAT32. I did this, and I believe it reduced my 2GB stick to maybe half a gig, or less. Not to mention it did not work on other devices.
So what you do is connect the thumb drive, open disk utility, and select the "Partition" tab. Select "Ms Dos File system", Enter a Volume name, and go to "options" and select "Master Boot Record" partition scheme. This should format it as FAT32. It worked for me, my only problem was it seemed to take a while considering it was just a 2GB drive.