It's called, "Disk Utility."
Initializing is to build partions tables for given formats on a disk.
This is most easily done in Mac OSX using the Disk Utility application, Applications/Utilities/Disk Utility.
Although OSX 10.7 Lion and 10.8 Mountain Lion can dynamically partition a disk (and you have many manual partitioning options using apps within the command line Terminal), in most cases, you will lose all the data on the drive when you re-initialize it.
So be sure to back up whatever you've got on the drive before proceeding.