Actually, it's trivial to convert a FAT32 drive to NTFS: Windows actually comes with a conversion tool built in. See http://www.aumha.org/win5/a/ntfscvt.php for some instructions.
Takes just a couple of minutes and a reboot. Note that it is a one-way process, you can't convert a live disk from NTFS back to FAT...
(The main reason of the conversion tool was for those who upgraded from Win9x to Windows 2000 -- in that scenario the drive would still be in FAT32 mode. It asked you whether you wanted to convert to NTFS after the first boot, but you could still do it manually later as well. The same conversion tool is also included with XP, and IIRC Vista.
Takes just a couple of minutes and a reboot. Note that it is a one-way process, you can't convert a live disk from NTFS back to FAT...
(The main reason of the conversion tool was for those who upgraded from Win9x to Windows 2000 -- in that scenario the drive would still be in FAT32 mode. It asked you whether you wanted to convert to NTFS after the first boot, but you could still do it manually later as well. The same conversion tool is also included with XP, and IIRC Vista.