There isn't a format option in Rockbox, which is why you couldn't find it.
Personally, I'm always loathe to format these devices, it's very much a weapon of last resort.
Could you check something else out for me first? With the device connected in MSC mode, do the following :
1) Go to the start menu in windows, and choose "Run"
2) Type in "diskmgmt.msc", and then click "Ok"
In the window which should then pop up, tell us what you see in the bottom half. It should list the disks that windows sees attached to your computer (for example, you might see "Disk 0" and "CD-ROM 0").