Hello, if I may clarify:
You are trying to format the drive using XP on a Virtual Machine?
I think you will find that this operation might not be possible.
(Translated: Mac is evil, evil, evil, evil, evil, evil)
"I recently purchased a new hard drive"
Do you mean a new hard drive, or a new computer? (sorry if it sounds like a stupid question, but a lot of users here get their terminology wrong)
What operating system is the PC using?
If you have Vista:
Click Start> Control Panel> Maitenence> Under "Administrative Tools" find "Create and Format Hard Disk Partitions" and click it
Find your USB drive, and format it.