Well, I always have to look this up, since I do it so rarely…
But I had a few questions come in regarding converting a FAT32 disk to NTFS, on a Windows XP system…

Well, please remember, your mileage may vary, and you assume complete responsibility for this… But the easy answer is to use the convert utility builtin to Windows XP / Vista / Win 7.

Microsoft Tech Note – How to Convert FAT Disks to NTFS

To convert a volume to NTFS from the command prompt

Open Command Prompt. Click Start, point to All Programs, point to Accessories, and then click Command Prompt.

In the command prompt window, type: convert drive_letter: /fs:ntfs 

For example, typing convert D: /fs:ntfs would format drive D: with the ntfs format. You can convert FAT or FAT32 volumes to NTFS with this command.

Important  Once you convert a drive or partition to NTFS, you cannot simply convert it back to FAT or FAT32. You will need to reformat the drive or partition which will erase all data, including programs and personal files, on the partition.”