You need a suitable USB CF card reader. I'm using a "Smartdisk CFUSB", but there are any number of cheap alternatives.

The the card will show up under "My Computer" as a "Removable Disk".

Right-click on the name and you will get a menu with a list of options, one of which is "Format".

Set "File system" to FAT, rather than the default "FAT32". Check "Quick Format".  Then hit "Start". Takes about 20 seconds.

When it is complete, right click the name again and select "Eject" and remove the card.