Compact Flash cards always come formatted, just like all other types of flash memory.

If it was not formatted, the camera would have been unable to shoot.

What is going on is that your computer is unable to recognize the card's file-system. This sometimes happens with an incompatible reader or older operating system. This is highly likely because of the size of your CF card which is not so common. At this point you need to try something:

• Use a different card reader
• Use the camera directly
• Use another computer
• Check that you have the latest drivers for your camera or reader
• Try another operating system. You easily do this with a LiveCD which boots from the drive without installation. This will let you see your files and even copy them onto your hard-disk.

EDIT:

Sorry, I had not noticed you said the card no longer works in-camera. Your last hope is to use a recovery software like Photo Rescue or Image Rescue. These software usually show you a preview of the files they can recover before you have to pay. Actually, if you bought your Sandisk recently, you may have a coupon for a one-year licence.