When no floppy disk is inserted, GFloppy displays a dialog informing you that there's no media to be formated.
If your disk is write protected, GFloppy will warn you as well. To un-write protect your floppy, eject it and turn it over. Standard 3.5 inch floppies have a small black tab in the upper-left corner. Slide it down so it covers the hole. If the floppy does not have a black tab, it is permanently write protected.