I've only encountered the "cannot be formatted" error in 3 cases - write lock on the card, malfunction in the reader, and when the card is dead. There's not much advice I can give. EDIT: Good sign of it being dead is if it doesn't show you the right size (e.g. if it thinks it's only 2MB big instead of 4GB).
An easier way to access disk management (in XP, Vista and 7), is to right click on My Computer and click Manage. On the left you'll see Disk management, amongst the other management services available.