It depends. In the particular case you describe, the FORMAT is "compiled" and passed to the run-time library in compiled form, so you can't see it in anything that is recognizeable. In other cases, the compiler never "materializes" constants into memory. But if it does, you should be able to find them in a machine code list and then look at a link map for the base address of the image section they're in. This is a lot of work, though.
As for your original problem report, I don't think your format string is being overwritten because constants are allocated in read-only image sections (and since you're using Windows 2000, they are indeed read-only.) My guess is that your program is corrupting data elsewhere.