It sounds like the OP doesn't care about recordings on the thumb drive but wants to format it to use on a windows computer?
What Windows version are you using? If you are trying to use a front USB port on your computer, try one of the ones in the back of the computer.
You can go to control panel/administrative tools/computer management/disk management and from within there partition it and format. It could be that windows just doesn't recognize what it's partitioned and formatted as right now but in there it should recognize the drive and allow you to repartition and format it.