  We study the potential of a Neutrino Factory in constraining the parameter
space of a scheme with one sterile neutrino separated from three active ones by
an O(1) eV^2, mass-squared difference. We present approximated analytic
expressions for the oscillation probabilities, showing that the greatest
sensitivity to sterile neutrinos at a Neutrino Factory can be achieved using
the \nu_\mu ->\nu_\mu and the \nu_\mu ->\nu_\tau oscillations. We have studied
two setups: a Neutrino Factory with 50 GeV (20 GeV) stored muons, with two
detectors of the Hybrid-MIND type (a magnetized ECC next to a magnetized iron
calorimeter), located at L=3000, 7500 km (L=4000, 7500 km) from the source.
Four channels have been used: \nu_e -> \nu_\mu,\nu_\tau; \nu_\mu ->
\nu_\mu,\nu_\tau. The relevant backgrounds, efficiencies and systematic errors
have been taken into account, and we have discussed dependence of the
sensitivities on the systematic errors. We have found that the 50 GeV (20 GeV)
setup can constrain \sin^2 2 \theta^{(4fam)}_{13} <= 7x10^{-5} (2x10^{-4});
\theta_{34} <= 12 deg (14 deg); and \theta_{24}<= 7.5 deg (8 deg). Our results
hold for any value of \Delta m^2_{Sbl} >~ 0.1 eV^2. Eventually we have shown
that, if a positive signal is found, the proposed setup is able to measure
simultaneously \theta_{34} and \delta_3 with a precision of few degrees and few
tens of degrees, respectively, solving the so-called "intrinsic" and "sign
degeneracies". Combination of \nu_\mu disappearance and of the \nu_\mu
->\nu_\tau channel, that will be called "the discovery channel", at the two
baselines is able to measure at 99% CL a new CP-violating phase \delta_3 for
\sin^2 2 \theta_{34} >= 0.06.
