Formatting a disk (hard drive, floppy disk, flash drive, etc.) means preparing the chosen partition on the disk for use by an operating system. This is done by erasing all data and setting up a file system.
The most popular file system for Windows is NTFS, but FAT32 is also sometimes used.
In Windows, formatting a partition is usually done through the Disk Management tool. You can also format a disk using the format command in a command line interface such as Command Prompt, or with a free disk partition software tool.
Formatting usually can't happen accidentally, so you don't have to worry about accidentally deleting all of your files. However, you should be careful when formatting and be sure of what you're doing.