Just had exactly the same issue. I purchased a Kingston 4GB Card and got 'Card not Initialised' on my Fuji S2. The answer is:
Download free open-source software called 'MiniTool Partition Wizard Home'
(Google it to find it - I always download this stuff from cnet, they've never let me down.)
Insert your Compact Flash card into a USB drive and fire up the software.
Click on your card.
MAKE SURE IT'S THE RIGHT ONE!
Click on 'Format Drive'
Select 'Format Partition'
Change File system to Fat 16
Apply changes.
NOW...
Select 'Move/Resize Partition'
Type '2000' into 'Partition size' BE AWARE THIS IS MAKING THE CARD ONLY HAVE 2GB AVAILABLE FOR USE.
OK and Apply the above.
Pop your card into the Fuji.
Voila! Job done.
