Lol, I can't believe this idiots from Microsoft:

support.microsoft.com/default.aspx?scid=http://support.microsoft.com:80/support/kb/articles/Q302/1/13.ASP&NoWebContent=1

But some noname USB floppy maker came to my rescue:

www.yedata.com/support/WinXPcompliance.shtml

In short, use this in command prompt:

format a: /t:80 /n:9

Does anyone know the format command for 360K floppy? I think it could be something like:

format a: /t:40 /n:9

but I am not sure...

nope, instead of 80 tracks format a disk with 40 tracks?! Nah... there should be a commandline directive like '/s', where x stands for the number of sides of that disk. A 720kB disk has 2 sides, while a 360kB disk only has one.

You can always format them 720kB and replace the bootsector and FAT.

Even more useful: MSXForum, which even adds a nice MSX bootsector to your disk.