To what drive are you dumping the video? Does your machine only have one hard drive or are you sending the video to a secondary drive?
Generally -- all hard drives need to be formatted before use. If you buy a new brand-name PC, the root drive is pre-formatted and the operating system (eg:Windows) is already installed. If you are trying to put the video on that same drive, then you are correct to NOT format that drive. If you installed a secondary drive, then you will need to format it first. As long as the second drive is brand new, this should not be a problem as long as you are careful to only format the NEW drive and nothing else. If you put in a used second drive that already has data on it, it should already be formatted. Possibly the drive was formatted by a different / incompatible operating system - like taking a drive out of a Mac and putting in a Windows machine to read the files.
I'll agree with the above - some more info would be helpful.