Go back to Disk Utility with the WD attached and follow a similar pathway as you initially did to format it, however this time you will choose Partition from the sub-menu. What is the capacity of the WD Passport? If it is sufficiently large (for example 1 or 2TB) you could partition it so that one section (partition) is formatted for Time Machine, and the other is left as FAT32 for the Windows portion.
