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):
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).
If you are interested, here are other available options:
Converts FAT volumes to NTFS.
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)