Because it will not work running windows... It must be done while Windows is not running.
Get yourself a floppy of killdisk. Free and powerfull. Or you may grab a 98 boot disc or use your OS Install CD.
These are free and format it one time only and if you are trying to hide anything your data can still be recovered so rinse and repeat 7 times because that is the standard.
Edit: linky to killdisk