To add: The " Gigabeat Recovery Procedures" are correct. But, you don't have to use the Gigabeat Room software - there are alternatives if you just want to add Rockbox. Basically, the drive has to be formatted to FAT32 - so you can use any third-party software to do that.
Suggestions - for Linux, the FAT32 formatting should be built-in. For Windows XP, I would suggest either the Panasonic SDFormatter tool or CompuApps SwissKnife (both free). Once formatted, just add the .rockbox and SYSTEM folders yourself, or run the Rockbox install GUI tool.