When you want to operate your Raspberry Pi, you need an SD card with an “OS”. I like using Raspbian Wheezy, a Linux Debian distro tailored for the Raspberry Pi.
What do you need:
1) atleast a 2GB SD card (I prefer using class 10 SD Card with 4GB or more)
Download & unpack the Raspbian Wheezy OS.
Pu the SD card in the card reader and connect it to your PC.
Download & install Win32DiskImager (you only have to create a directory which includes all the files from Win32DiskImager)
Select the previously download Image File
Select the Card Reader with the SD Card as Device
Hit the Write button, wait for the write process to finish.
PS: In case you want to make a back-up of your SD-Card you can create an Image File, select the Device (Card Reader) and press Read. This will create an image file of the SD card in the card reader.
PS2: in case you want to format your SD Card the HPUSDDisk.exe tool might come in handy, as it formats the SD Card regardless of size, OS and / or file system.