Since there is not a PS2 utility to help format a USB device, im attatching a free Compaq/HP softpaq USB Format tool. This is a windows only tool.
It is quite easy to inadvertently destroy the volume headers and thus make the volume inaccessible. This utility will correctly format a USB key and restore the headers. Works like a charm on any generic USB key.
Its a good tool to have in your toolkit!
Just insert your USB device in your PC's usb slot & run the app.