High-level formatting does not destroy the data on the disk, Windows (or DOS) only erases the records of where the files are, not the actual contents of the files themselves, much like if you ripped out an index from a book - you can still find what you're after it just takes a bit more effort.
The reason why Windows operates this way is that if you really want to securely remove data from a disk then you have to write random data (or zeroes) across the entire disk platter, basically recording over the old data, and this can take some time, especially as some goverment standards require you to repeat the process multiple times. Now most regular users don't want to sit around for hours waiting for a disk to be securely 'erased' when they format a drive.
If you are concerned, I would recommend the excellent SDelete written by a chap who is pretty much an guru on all things windows. He is now employed by microsoft but his tools are still available FOC from MS
http://www.microsoft.com/technet/sysinternals/ Security/SDelete.mspx
Even after all this it apparently is still possible to retrieve some data using extremely sophisticated and expensive equipment. That's why most organisations will also physically destroy a disk as well!