The drive should have shipped with a small user's manual. I use an external hard drive enclosure, and not an actualy external hard drive, but I imagine they are much the same thing.
I grabbed this from the Sabrent web site:
Right click on “My Computer” and choose “Manage” from the drop-down list. A Window called “Computer Management” will pop up
Click on the “Disk Management”. All connected disk drives will be displayed in the lower right-hand corner of the window. Carefully locate your new external drive, right click on it to initialize your drive, create or delete new partitions, and/or format an existing partition.
6.2 Go to “My Computer”, locate the removable disk, right click on it, and select “Format” from the drop-down list, follow the instructions to complete the formatting process.
Note: Using this method to format your drive will result in a single partition in largest drive capacity, which is also highly recommended
Note: For Windows 98 and ME, format your drive with FAT32 (the ONLY choice). For Windows 2000 and Windows XP, the default choice is NTFS. However, you can also choose to format the drive with FAT32 ONLY IF the drive size if smaller or equal to 32GB.