If you want to drag and drop, yes, you need to format the DVD+RW for packet writing, unless the disk comes pre-formatted. The DVD+RW rewriter should come with software which enables you to do the formatting. +RW supports background formatting, so the initial formatting should not take too long.
As to the capacity of only 4.3GB, some people say it's because the disk has been formatted, but the other explanation (and more likely) is the same reason for the difference between hard disk size and what Windows reports it to be. Windows uses the binary system, so 1KB = 1024 Bytes, and not 1000 Bytes. +RW disks have a capacity of 4.7 million Bytes (=4.37GB in Windows).