I think the first step to fixing this is to
DISABLE AUTORUN on your computer for USB Drives. This will then stop nasty viruses that may be on your MP4 player from running when you plug it into your computer. I know this because I've bought an MP4 player which had a virus on it and as soon as it was plugged in, it tried to install itself. Luckily my Trend antivirus software picked it up before it could run. This maybe why you can not format your player because something is perhaps trying to run from it. Here is an article which shows you how to disable the autorun on your computer:
http://antivirus.about.com/od/securitytips/ht/autorun.htm
Follow those steps, reboot your computer then try formatting it again and let us know how you get on.