USB device says that I have to format it? What does this mean?

I feel very stupid for asking this question, but my USB device says that it must be formatted before I can use it.
 
I have looked around on the internet and the answers vary from it whiping the disk to updating the disk 

I have a lot of important work on it so hopefully it isnt the former...
 
Thanks

Formatting any kind of data storage disk means erasing the data that it have.

So you can't access the data you have on it?  If you format the device it will completely erase everything.   
 
Sometimes, I think, that a USB device isn't compatible with your OS unless you format it, so maybe the device isn't compatible with your PC's OS (until you format it).  If so, you could run it on another computer with a different OS, get the data off and onto another device and then format the card. 
 
I could be just talking out of my arse though, as I am no expert.

It just wants you to whipe all the folders and files.