Of course, if the drive doesn’t have any important files on it, you can go ahead and format it. Just don’t format the drive until you get the important files off the drive. That’s fine, because other applications do.
This message appears because Windows doesn’t understand Apple’s HFS+ file system. When you connect a Mac-formatted drive to Windows, you’ll be informed that “you need to format the disk in drive X: before you can use it.” Don’t click the “Format disk” button or Windows will erase the contents of the drive–click “Cancel”!