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
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:
format Your_usb_drive_letter:\ /Q, for a quick format...
Or you can choose different types: FAT, NTFS, etc...