Open "My Computer" and find the drive, probably E:\, right click on it and hit format. Make sure you use FAT32 and not NTFS. 😀
If it does not show up in "My Computer" then you need to go to "Control Panel" -> "Administrative Tools" -> "Computer Management" -> "Disk Management" and find the drive, right click on it and hit format.
In OS X I'd just open Disk Utility and the rest is self explanatory. 😛
Stupid Windows! 😀