once the card reader is connected to the computer USB port and the CFCard inserted into it, it shows up in My Computer along with other resources 8HD, printer, etc). Simply RIGHT click on the USB reader w/the card and choose FORMAT from the opened text window. The new window will offer you Fyle System FAT. That's it.
I'm doing this even on a Mac running Windows XP Pro, virtualized thru VM Ware Fusion.