You can use the Windows disk management console, diskmgmt.msc. Right click the USB disk and select Format. Pick the file system type on the format dialog.
If that doesn't work you can always use the diskpart.exe utility from the command line, but you gave to be running the shell as Administrator. Be very careful using diskpart as it is easier to destroy your system if you select the wrong disk.
Some USB sticks have two partitions, one of which contains non-modifiable code (effectively a CD). I never use this feature and usually just use disk manager to remove the drive letter so that it doesn't appear in Explorer. I have had some older sticks that I was unable to format without using diskpart's clean command to wipe. Again, I must caution that you be extremely careful when using this. If you clean the wrong disk/partition there is no going back. You can avoid mistakes by doing a list disk in diskpart and doing a select disk on the disk with the correct size.