As soon as you cancel the formatting dialogue, Windows will give you a warning that it cannot read the drive. Do not be alarmed by this message. Windows is just reiterating what we already know. You need a special disk driver to read Mac drives and recover HFS files on Windows systems. Disk Drill has HFS, HFS+, and HFS-Plus drivers built into it. So, you can safely ignore the warning.

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@Cleverfiles just saved my life.