You can use the FORMAT command from a Command Prompt to format your drive to NTFS.
Let’s say your flash drive is named E:
The following command would format your flash drive using the NTFS format:
FORMAT E: /FS:NTFS
You can also convert from FAT32 to NTFS if you have lots of files on the drive that you want to keep (although copying them somwhere else and then copying them back after formatting might be faster):
CONVERT E: /FS:NTFS
EDIT: You may have to optimize for performance first, like in the procedure linked by ~Jethro~