If the drive's format comes up as MS-DOS (FAT) or, less likely, ExFAT, you may be able to simply leave the drive as-is and not bother reformatting it.
Your new drive should appear in the left-hand column, and clicking the 'Partition' tab will bring up info on the drive which includes its current format. How do you tell which format your brand-new USB drive has? Hook it up to your Mac and launch the Disk Utility app, located in your Utilities folder (which is in Applications). If the drive comes formatted in NTFS, which is the default file system for Windows, you're going to want to re-format the drive because Mac OS X can't write files to NTFS-formatted volumes (at least not without a bunch of extra work that's beyond the scope of this article).
The first format, FAT32, is fully compatible with Mac OS X, though with some drawbacks that we'll discuss later. The overwhelming majority of USB flash drives you buy are going to come in one of two formats: FAT32 or NTFS.
