mkdosfs -F 16 -n LABEL-NAME /dev/sdbx
Leave off the -F option (chose 16 or 32 if you use it) and let mkdosfs choose what is appropriate.
LABEL-NAME maximum of 11 characters.
And, of course, specfy the correct /dev/sdxx to format and apply a LABEL to.
I do this with all my flash storage media (thumb drives and mp3 players and SD flash cards. When they auto mount, the desktop icon uses the label name I gave them. Backup any data on the device before doing so as it will be wiped clean with the reformatting.
Edit: The device should not
be mounted when you do anything with partitions or creating file systems.