FORMAT is the command executed to install fresh new tracks on a disk drive, USB drive or memory card. It's like laying down a railroad first before a train could pass through. Better yet, it's more like installing lockers so the students can have a place to keep their stuff. The storage device is first completely erased (shock!) then the blocks that will contain data are laid out.
So you read the word ERASED. Yes, that is important. Formatting will erase everything in the device before you can put new data into it.
To avoid losing your precious pictures, make copies of them to the computer first before formatting a memory card. In the unfortunate case that you forgot to do so, run to the nearest computer shop and inquire about their RECOVERY services. It will probably cost much more than the value of your pictures.
The recommended way to format memory cards is through the camera's menu. This will ensure that the memory card is recognized by the camera itself. If your computer is a Mac or a Linux box, it is more recommended to do it this way. I'm not sure about it but your camera may not recognize a Mac or Linux filesystem. Then there is the question of file ownership. Stick to the camera's format option to be doubly sure about this.
Formatting is recommended after every shoot. At the end of the day, it would be best to copy your pictures to the computer. Burn a back-up copy to a CD or DVD. Format the card in preparation for the next shoot. The memory card is not a lasting storage device. It can easily be corrupted. Make copies and back-up often.
Now you know!