Windows XP supports two disk file systems: the file allocation table (FAT) file system and the NTFS file system.To convert a FAT partition to NTFS, follow these steps:

• Click "Start" -> "Run", type "cmd", and then click "OK".
• At the command prompt, type "CONVERT driveletter: /FS:NTFS".
• Convert.exe attempts to convert the partition to NTFS.The Convert.exe is simple to use, but there are some limitations that you should consider before using the utility. For details, please refer to How to Use Convert.exe to Convert a Partition to the NTFS File System from Microsoft.

Reference: You can refer to "NTFS vs FAT" for a comparison from the NTFS.com