Even though you can/could use your SD card 'raw' - it's most convenient to format the card to a filesystem. For the Arduino library we'll be discussing, and nearly every other SD library, the card must be formatted FAT16 or FAT32. Some only allow one or the other. The Arduino SD library can use either.
If you bought an SD card, chances are it's already pre-formatted with a FAT filesystem. However you may have problems with how the factory formats the card, or if it's an old card it needs to be reformatted. The Arduino SD library we use supports both FAT16 and FAT32 filesystems. If you have a very small SD card, say 8-32 Megabytes you might find it is formatted FAT12 which isn't supported. You'll have to reformat these card. Either way, it's always good idea to format the card before using, even if it's new! Note that formatting will erase the card so save anything you want first.
Download the formatter from https://www.sdcard.org/downloads/formatter/
Download it and run it on your computer, there's also a manual linked from that page for use.
