when you say initialize do you mean create a partition?
If I am correct, that is what initializing does in Windows.
If that is what you mean, go to Disk Utility, select your drive on the left, then click the partition button at the top (or the erase one if partition is greyed out or something like that).
Afterwards, click the plus at the bottom, enter the name, format, and then hit apply.
If you choose erase, just enter partition name, choose the format/partition scheme, then hit erase