You don't format a USB as a CD. :x
The closest would be setting up a USB drive to act as an external CD drive with a CD in it, but this would be useless for anything other than the hack value of doing it for its own sake. That is not what you are doing.
There are millions of tutorials on how to make a bootable USB drive. I refuse to explain this.
Here's a tip for hacking: Download Google Chrome and open Incognito mode. This will automatically spoof your IP address so you will be 100% anonymous and all your traffic will be encrypted.