|MAC OS Extended will not work for what you need. Set partition type to MBR (or MS DOS) and then the format to FAT in the disk utility. |
Or from within Windows (as stuart mentioned):
Open the Control Panel,
Select Administrative Tools, then go to Computer Management,
Select Disk Management
Right click on the partition for that DISK, and delete volume (if there is a volume, if its all unallocated space, skip this step).
Right click unallocated space on DISK X that is USB drive and select Format,
Confirm with OK.