Yes, you can do that, just use the program built into your operating system. For example, in Windows you:
- Click Start
- Right-click "Computer" and select "Manage"
- Click "Disk Management" in the left pane
In lower part of the middle pane you'll see a map of your drives - you can right-click on the drive name (i.e., "Disk 3") to delete/create partitions and format them using whichever file system you want.