Help- how to format memory cards for sony cam!

I've just bought a £400 Sony camera and found my PSP memory card wasn't suitable- so I ordered a 16GB Memory Stick PRO Duo Mark 2 (which my instruction manual says is compatible)- only every time I turn my camera on, it says "this memory card is not formatted correctly" and prevents me from recording! All of this equpiment is brand new so I don't know what the problem is! Please help! My instruction booklet doesn't mention this problem!

EDIT: at the suggestion from the user below, I tried to format the memory card through my computer, and after almost half an hour of loading time, it said the card was formatted. Except when I put it back in my camera, I got the same message: This memory card is not formatted correctly.

The memory card is brand new, how can it not be formatted without ever being used?