On Windows Server Core installations, you don't have Disk Management available. But you can quickly initialize and partition a new disk via diskpart. Here's a quick reference to the necessary commands in order.

1. select disk 1
2. attributes disk clear readonly
3. online disk
4. select disk 1
5. clean
6. convert gpt
7. create partition primary
8. format quick fs=ntfs label="disk label" unit=64k
9. assign letter="E"