I think everybody has gotten it right in some way, but I think there still are bits of information I'd like to add:
Regarding the filesystem
Live media is not the same as a properly installed operating system, and sure you'll need a variant of the ext filesystem for installing your Linux distribution but on your hard drive, many live media does not have this requirement and they will work fine from a fat 32 drive.
Regarding your actual question
You can use any tool suggested here to format your drive, many support different filesystems but if you need a live media, you'll most likely just need fat 32, and the good old windows format dialog will be enough for this task.
Regarding what I believe is what you want to achieve
As far as I can tell, you just want to boot a live image of said distribution to do whatever you need to do on it, without installing it or making your computer dual boot, so you most certainly want to stick with the fat 32 filesystem and you would just have to use a proper tool like Unetbootin (as somebody has already suggested) since it will do all the work of creating a live USB for you.