If you were using a flash drive or external hard drive to install VMWare ESXi then you will notice that when you want to use that drive for something else, it only appears to Windows as ~4Mb.
You will probably try to format it inside of Windows but this will still only leave you with the 4Mb of usable space as if the max capacity of the drive has been reduced. Even in Windows Disk Management, you will be completely unable to remove the partitions that were created by ESXi
In order to return this drive to its original capacity you must use the HP USB Disk Storage Format Tool. Just format it with this program and then you will be all set.