Sony Memory Stick Pro duo in Sony w350 "format error"

Have a Sony m350. Works fine with Sony Memory Stick Pro 4MB. Sent away for a new, Sony Memory Stick etc...(same) only 8MB.
Camera was off, I put in the stick and when I turned on the camera for the first time with it "Format Error" came on the screen!

There is NOTHING I could find in the manual about formatting the stick.

Where do I go from here? Anyone actually overcome this same issue?

Thanks for any help.

-Stuck with "Error Stick"
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