The Windows 7 formatting options are:
various "File system" choices: UDF 1.50, UDF 2.00, UDF 2.01 (Default) and UDF2.50. So far I have used 2.01 (Default). For "Allocation unit size" I have used "Default allocation size" though "2048 bytes" is available. I also clicked on the next button called "Restore device defaults" and gave the Volume label of KaliLinux1.0.6

Based on the above settings, I did get the error message of:
"The disc image didn't burn successfully because an error occurred. (Error code: 0x80004005)"

(I could not attach either image because the site said it had to be within 620 x 280 and both already were.)