You should just delete the files. If it needs to be formatted you MUST NOT use the Windows format tool. You need to download a special tool called SD Formatter.
Cannot format on your phone or digital camera?
Connect it to a computer or laptop and format it.
Or you can try a format tool:
http://download.cnet.com/HP-USB-Disk-Storage-Format-Tool/3000-2094_4-10974082.html