Windows usually will not support 2 partitions on removable media. You should be able to format the partition from computer management, or usually prompted to do so by clicking on it. You could setup dual partitions- 1st fat32, second wbfs- but windows may not initials the second partition and you many not be able to load games from windows, or maybe it will. Windows will not partition this for you, so you could boot into live cd of gparted, or install something like acronis disk director on windows to manager partitions. You may also be able to create the partitions from cmd with fdisk.