Converting to NTFS is quite easy. For the sake of this example, lets use Windows XP. It comes with a command line tool, called "convert.exe". To run it, go to: Start → All Programs → Accessories → Command Prompt (or, from a Run box, type cmd).
In the command line, select the drive that you'd like to convert (assuming disk F):
vol f:
Then type:convert f: /FS:NTFS
It will ask you a number of questions - reply yes to them. (If there are open files on the file system, it will do the conversion at he next reboot).
Please note: This is permanent - once you convert to NTFS there's no going back to FAT32
If you are interested, here are other available options:
Converts FAT volumes to NTFS.
CONVERT volume /FS:NTFS [/V] [/CvtArea:filename] [/NoSecurity] [/X]
volume Specifies the drive letter (followed by a colon), mount point, or volume name.
/FS:NTFS Specifies that the volume is to be converted to NTFS.
/V Specifies that Convert should be run in verbose mode.
/CvtArea:filename Specifies a contiguous file in the root directory to be the place holder for NTFS system files.
/NoSecurity Specifies the converted files and directories security settings to be accessible by everyone.
/X Forces the volume to dismount first if necessary. All opened handles to the volume would then be invalid. (This is to avoid rebooting)