Microsoft instructions Here
To convert a FAT partition to NTFS, perform the following steps.
In Windows XP, click Start, click Run, type cmd and then click OK.
At the command prompt, type CONVERT
Convert.exe will attempt to convert the partition to NTFS.
NOTE: Although the chance of corruption or data loss during the conversion from FAT to NTFS is minimal, it is best to perform a full backup of the data on the drive that it is to be converted prior to executing the convert command. It is also recommended to verify the integrity of the backup before proceeding, as well as to run RDISK and update the emergency repair disk (ERD).