my suggestion to format the card in Eclipse is ok for small capacities cards (16 to 128 MB cards). To format bigger cards (or just about any capacity card below 4 GB):
You need a suitable USB CF card reader.
The the card will show up under "My Computer" as a "Removable Disk".
Right-click on the name and you will get a menu with a list of options, one of which is "Format".
Set "File system" to FAT, rather than the default "FAT32". Check "Quick Format". Then hit "Start". Takes about 20 seconds.
When it is complete, right click the name again and select "Eject" and remove the card.
….as Nick recently pointed out….