If the drive came with software from WD, use that. It likely cannot be formatted, because it has not been partitioned yet. The WD software makes this a snap. You could also do it in Windows via the disk management program, but the WD software is even easier.
If you do not have a disk, just go to the WD support page for your hard drive, and follow the links to download it. I would also download the diag disk tool they have and burn it to a CD. Very handy also.