Converting to NTFS is quite easy. For the sake of this example, lets use Windows XP. It comes with a command line tool, called "convert.exe". To run it, go to: Start → All Programs → Accessories → Command Prompt (or, from a Run box, type cmd).

In the command line, select the drive that you'd like to convert (assuming disk F):

vol f:

convert f: /FS:NTFS

It will ask you a number of questions - reply yes to them. (If there are open files on the file system, it will do the conversion at he next reboot).

Please note: This is permanent - once you convert to NTFS there's no going back to FAT32

If you are interested, here are other available options:

Converts FAT volumes to NTFS.

CONVERT volume /FS:NTFS [/V] [/CvtArea:filename] [/NoSecurity] [/X]

volume Specifies the drive letter (followed by a colon),  mount point, or volume name.
/FS:NTFS Specifies that the volume is to be converted to NTFS.
/V Specifies that Convert should be run in verbose mode.
/CvtArea:filename Specifies a contiguous file in the root directory to be the place holder for NTFS system files.
/NoSecurity Specifies the converted files and directories security settings to be accessible by everyone.
/X Forces the volume to dismount first if necessary. All opened handles to the volume would then be invalid. (This is to avoid rebooting)