With Windows XP, to change from FAT 32 to NTFS file system for more stability, security and less fragmentation, open the command prompt and type:

Convert C: /FS:NTFS

“C” being the drive you wish to convert. Make sure there is a space between the C: and the foward slash (/). Once you press enter it will ask you for confirmation and press Y. Then press Y and enter once more to reboot. After the reboot, you will have an NTFS partition with no data loss.