|i guess SANDisk is a thumb drive and it wont allow you to make more than one partition from diskmgmt. Actually it happnes because windows does not read MBR Partition table of removable disks.|
Either you can make windows think that SANDISK is a hard drive (Inbuilt method), or use a third party called cfdisk which will do the trick. Serach for cfdisk and you will see lot of articles on how to use it.
After that you will able to do anything with the thumb drive as you can do with normal hard disks..