You can also use HP USB Disk Storage Format Tool. This utility will format any USB flash drive, with your choice of FAT, FAT32, or NTFS partition types.
Optionally you can also make the disk BOOTABLE by specifying a file location.
It's a must have tool if you plan to make a bottable USB or if you want to install Windows from a USB stick (which is much faster then a CD/DVD).
Edit: forgot to post the link. You can find it here