I definitely wouldn’t say you have screwed yourself. You can always return the drive to the retailer and get another one.
Does the drive show up when it’s plugged in and turned on in the Disk Utility? If it does, try to reformat it again. If not, definitely return it. I would also be sure to check all my cables before returning it. Maybe there is just a bad connection through whatever cable you have connecting the drive to the computer.
-Robert