You may have to get another CF card, I would recommend Kingston brand.
Fat formatting is used for the PCMCIA/CF adapters and Windows. To start off I would stick to the basics i.e. FastFileSystem (FFS) to get you going. Once you have mastered the CF HD basics then you can move on to SFS/PFS3 etc.
If you have the money spare then I would also recommend that you buy a CF card from Amigakit, they come pre formatted and just need the WB disks to activate.