Well, you can format it by right click and format
You can also format with Administrative tools >Computer management in Control panel
Or cmd, by Start>run type cmd
To see all the options you have, first type
format /?
This will list what you need to do, depending on what you really want
You can format your stick (usually in Fat32) by default like this:
Type
format Your_usb_drive_letter:\ /Q, for a quick format...
Or you can choose different types: FAT, NTFS, etc...