If you know the make and model of your DVD player, could you post it here please? I can then do some research to find out more.
Alternatively, you could look through the manual that came with the DVD player to find a section about USB drives, if it has one. Even if the USB drive worked with the DVD player before, the manual may give a hint about what is going wrong here.
Testing the USB on other players is a good idea, if you know those players can also read USB drives. Are you certain those DVD players can also read from USB drives?
You can download the HP USB Format utility, Download HP USB Disk Storage Format Tool 2.2.3 Free - Windows-based Format Utility for HP Drive Key or DiskOnKey USB Device - Softpedia is just one site where you can download it (be careful which download button you click, it's the dark blue one, not the ads).
That said, when you formatted the drive using Windows, did you select quick format? If so, try reformatting with that unchecked, it may make a difference. Furthermore, you could try formatting the drive as NTFS.
http://www.softpedia.com/get/System/Hard-Disk-Utils/HP-USB-Disk-Storage-Format-Tool.shtml