I formatted the USB disk in Windows using disk management. That works. Unfortunately I can't right click format, nor can I format in Explorer. Totally bizarre I know. But I teach, a lot. And format frequently. Small potatoes but the extra clicks when you are in a routine are not fun, and frankly, I am intrigued. I am thinking a registry value got hosed somewhere.
Strangely, when I right click and choose format, nothing happens. When I insert a USB disk, the window I sent in my first post pops up, and then format fails. Then I can go to disk management and format there.