思路，删除原有windows的fat分区，新建主分区，格式化为ntfs：
CentOS release 5.6 (Final)
Kernel 2.6.18-238.12.1.el5 on an x86_64

sunrise login: simonsun
Password:
Last login: Sun Apr  3 10:31:16 on tty2
[simonsun@sunrise ~]$   Vendor: Kingston  Model: DataTraveler 130  Rev: 1.00
Type:   Direct-Access                      ANSI SCSI revision: 02
SCSI device sdb: 7827456 512-byte hdwr sectors (4008 MB)
sdb: Write Protect is off
sdb: assuming drive cache: write through
SCSI device sdb: 7827456 512-byte hdwr sectors (4008 MB)
sdb: Write Protect is off
sdb: assuming drive cache: write through
sd 5:0:0:0: Attached scsi removable disk sdb
sd 5:0:0:0: Attached scsi generic sg1 type 0

[simonsun@sunrise ~]$ sudo /sbin/fdisk -l

Disk /dev/sda: 320.0 GB, 320072933376 bytes
255 heads, 63 sectors/track, 38913 cylinders
Units = cylinders of 16065 * 512 = 8225280 bytes

Device Boot      Start         End      Blocks   Id  System
/dev/sda1   *           1          13      104391   83  Linux
/dev/sda2              14       38913   312464250   8e  Linux LVM

Disk /dev/sdb: 4007 MB, 4007657472 bytes
124 heads, 62 sectors/track, 1018 cylinders
Units = cylinders of 7688 * 512 = 3936256 bytes

Device Boot      Start         End      Blocks   Id  System
/dev/sdb1               1        1018     3913161    b  W95 FAT32
[simonsun@sunrise ~]$ sudo /sbin/fdisk /dev/sdb

Command (m for help): d
Selected partition 1

Command (m for help): w
The partition table has been altered!

Calling ioctl() to re-read partition table.
SCSI device sdb: 7827456 512-byte hdwr sectors (4008 MB)
sdb: Write Protect is off
sdb: assuming drive cache: write through
SCSI device sdb: 7827456 512-byte hdwr sectors (4008 MB)
sdb: Write Protect is off
sdb: assuming drive cache: write through
Syncing disks.
[simonsun@sunrise ~]$ sudo /sbin/fdisk /dev/sdb

Command (m for help): n
Command action
e   extended
p   primary partition (1-4)
p
Partition number (1-4): 1
First cylinder (1-1018, default 1):
Using default value 1
Last cylinder or +size or +sizeM or +sizeK (1-1018, default 1018):
Using default value 1018

Command (m for help): w
The partition table has been altered!

Calling ioctl() to re-read partition table.
SCSI device sdb: 7827456 512-byte hdwr sectors (4008 MB)
sdb: Write Protect is off
sdb: assuming drive cache: write through
SCSI device sdb: 7827456 512-byte hdwr sectors (4008 MB)
sdb: Write Protect is off
sdb: assuming drive cache: write through
Syncing disks.
[simonsun@sunrise ~]$ sudo /sbin/mkfs -t ntfs /dev/sdb1
Cluster size has been automatically set to 4096 bytes.
Initializing device with zeroes: 100% - Done.
Creating NTFS volume structures.
mkntfs completed successfully. Have a nice day.
[simonsun@sunrise ~]$

备注：

1，最好在终端界面，即Terminal(Ctrl+Alt+F1,F2,F3)界面下执行；

2，有时候会遭遇“设备或资源忙“的情况， 一般是因为系统开启了autofs服务，即自动挂载服务，需要临时手动停止一下：

     sudo /etc/init.d/autofs stop

3，如果是图形化界面（比如centos的gnome下），需要在系统菜单下的首选项里的可移动驱动器和介质，在“可移动存储里”去掉前三行的复选框（热插拔时挂载可移动驱动器、插入时挂载可移动介质、插入时浏览可移动介质），这样就不会出现IO设备或资源忙的错误了。