You do not say what O/S you have or whether it is the only drive or an additional drive.
If it is a second drive on an XP system then You need to go to right click on My Computer and choose 'Manage' then Disk management.
You will see the drive in the list. Right click on the left hand box and choose 'initialize'. When this is done right click on the right hand side and choose 'New partition'. When you have done this right click again and choose 'Format'
If it is otherwise you will need to tell us what the set up is.