You only need to format a CDRW if you want to use it for "packet writing" (i.e. drag and drop to copy or delete individual files to/from CDRW as if it were a floppy). If you just want to burn a CD normally, you don't need to format it.
If you use Windows XP, it has some native CD burning software which can burn files to a CD for you, but it does not have packet writing and so you can't use XP itself to format a CDRW.
For packet writing, you need to use special software. All CD burning software comes with some sort of packet writing. Nero has InCD, Roxio has DirectCD, and so on. You will need to open whatever software you have, to do the formatting.