For an external hard drive or flash drive to work in Mac OS X and Windows, you need to format it with the ExFAT file system. This can be done using Disk Utility. The ExFAT format supports almost any hard disk and file size (as opposed to the legacy FAT32 format). Remember that formatting a drive will erase all data stored on it.
Steps
Part 1 of 3: How to Open Disk Utility

Step 1. Connect the drive to your Mac computer

Step 2. Click Go
To display this menu, click on the desktop and then click Go on the menu bar at the top of the screen.

Step 3. Click "Utilities"

Step 4. Double click on "Disk Utility"
Part 2 of 3: How to choose the ExFAT format

Step 1. Highlight the drive you want to format
The mapped drives are displayed in the left pane.

Step 2. Click "Erase"
It's near the top of the Disk Utility window.
Formatting the drive will erase all data stored on it

Step 3. Enter a name for the drive

Step 4. Open the "Format" menu

Step 5. Click on "ExFAT" in the "Format" menu
This format is compatible with Windows and Mac OS X (and Linux if additional software is installed). ExFAT supports disks and files of almost any size.
You can also choose the "MS-DOS (FAT)" format, but the disk size will be limited to 32 GB and the file size - 4 GB

Step 6. Open the "Scheme" menu

Step 7. Click "GUID Partition Table" from the "Scheme" menu
Part 3 of 3: How to format a disk

Step 1. Click on the "Erase" button
It's at the bottom of the Erase window.

Step 2. Wait for the disk formatting to be completed
The larger the disc, the longer it will take to format.

Step 3. Click "Finish" when the formatting process is complete

Step 4. Use the disc in Windows and Mac OS X
You can now burn and delete files from disk in Windows and Mac OS X.