Basically you need to create a new partition - redhat I believe comes with fdisk and also cfdisk, use one to create a new partition. When you create the partition you have the option of setting the partition type. One of those options is FAT32. Once you have created the partition you will write the new partition tabel and exit. Then you have ot create the filesystem on that partition using mkdosfs (also known as mkfs.vfat) you will need to pass at least 2 things to this command
mkfs.vfat -F 32 /dev/<partition>
There are other flags you may want to pass but those are the basics.
I strongly suggest you read up on some docs or at the very least some man pages, no offense but you seem new to Linux and its very easy to screw things up royally without much effort under Linux. That isnt meant as an insult , its just the way things are - if I had a dollar for every time I screwed up when I started with Linux I wouldnt have to work now.
EDIT: After posting this I realised you could go into XP and create a vfat partition there - sorry been using Linux so long I forget there are other OS'es
. Once you have created the partition (in either linux or XP) you will be able to see it under windows and it will be detected under linux. Then all you have to do is mount it.