Very odd. I guess once something is NTFS, it won't let you change it. You could always zero out the MBR sector with dd ... no, wait, I guess you can't.
You can always use a command window and the Windows format command.
Start...Run....cmd if you've never used a command line on Windows before. You will get a text based window containing a command line prompt.
Use
format /? to get a description of the command and its options and operands.
/FS:<filesystem> is the operand of specific interest.
FAT32 is the filesystem type you are looking for.
This command should change the MBR partition table while formatting. If it works at all.