It really depends on the operating system, I'll give you instructions for Windows 10/8 but you won't be able to save the data on the memory stick, if you need to, you will need to use a linux system to copy it off first.
Right click the Windows flag in the bottom left (Windows 7 click Start and right click 'Computer') click 'Computer Management' (Windows 7 - Click Manage)
In Storage click Disk Management, You will see your memory stick, listed as Disk # , for example mine says Disk 1, You need to make a note of this, it's very important you get it right

. Right click the Windows Flag again and click Command Prompt (admin) (windows 7 Click Start / All programs/ Right click 'command prompt' and choose 'Run as administrator') then type (change the disk number for the one you made a note of earlier, if you get this wrong you could wipe the wrong disk)
Code:
Diskpart
Select disk 1
clean
create part prim
select part 1
ass
format fs=fat32 quick
exit
exit
There is also a HP format tool, listed on this forum somewhere which may be safer
