Some memory cards have a 'write protect' switch. To format the card you need to write to it. See if it is write protected and if so, turn off write protect.
IF it is not write protected then see if you have some other device that can format the card (for example, a camera with CF slot can format it). Can something else format the CF but your PC can't -- that's a problem. Post again with details.
IF you can now format the CF, FAT32 is the usual file system for CF cards >2GB. Win7 shoudl default to this for a CF. If you go with something else (e.g. NTFS) then cameras may not be able to read or write the card.