I setup a CF card on my Windows 10 PC with WinUAE and the PC's built in multi-card media reader (so most likely USB connected internally). I had to diskpart the cf card first to erase all formatting/partitioning so that Windows no longer mounted it (states I need to format the card every time I insert it). Then booting off the install 3.1 .adf I was able to use HDToolBox to "install" the drive and then partition it.
So diskpart, wiping all the partitioning/mbr/gpt/whatever off of it and then allowing WinUAE full access of it.