I don't use an mp3 player but I would have thought that there would be some proprietary software loaded onto it to control files on the chip, and I would think that formatting it would risk losing that.
If reformatting to FAT32 is what you want then you have to allow this under the device's policies. Easiest way is to rclick that drive in explorer, go Properties > Hardware tab, make SURE you highlight the correct device in the list, and click the Properties button.
Select Policies tab in the new window, select Optimise for quick removal.
That should give you FAT32 option under the rclick Format option in the drive's Properties.
You may end up with a fancy thumb drive. Say how you get on.
its been my experience thats its best left at fat,and if its telling you to format it when you try to open it ,like any drive it usually means there is something wrong with it , have you tried dragging and dropping a mp3 file onto its icon to see it will copy to the player