A GUI complement for @grawity's answer.
One lined answer : You need to create partitions.
Some Information (optional) :
MBR (Master Boot Record) and GPT (GUID Partition Table) are two different ways of storing the partitioning information on a drive. This information includes where partitions start and begin, so your operating system knows which sectors belong to each partition and which partition is bootable. This is why you have to choose MBR or GPT before creating partitions on a drive.
GPT is a new standard that is replacing the old MBR.
One Solution (If you need this device to be used with new UEFI based systems):
1) Use GParted. Download it from here.
2) Create a partition first. Select Partition -> New.
3) In the popup box input New size (MiB), select File system from the drop down list and click Add.
4) Now select Edit -> Apply All Operations.
Now you've created the selected File system on the GPT drive.
Another Solution (If you need this device to be used with systems with traditional BIOS) :
1) Use GParted. Download it from here.
2) After the installation is complete, open the application and press Ctrl + R to refresh devices list.
3) Goto Gparted -> Devices -> Select your device in menu.
4) Goto Device -> Create Partition Table...
If you get any error then you need to get the device unmounted. Select Partition -> Unmount
5) Now, Select new partition table type : msdos and click Apply.
You've successfully created MBR partition table on the device.
Now you can create partitions with whichever file system you like the same way (First Solution).