yeah, there definitely is a better way, from within Windows.
Right click on My Computer, then click "Manage". Then, locate the "Disk Management" option on the left-hand frame. Click on that, and in the main frame of that Window, you'll see all of your drives right there. On your new drive, you'd see a box there that says "Unallocated space". Right click on that, and there will be options for initializing your new hard drive.