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Convert FAT to NTFS

There is a simple command in Windows XP convert an existing FAT or FAT32 volume to NTFS.

CONVERT volume: / FS: NTFS [/ V] (eg convert e: / fs: ntf)

volume Specifies the drive letter, mount point or volume name followed by a colon.
/ FS: NTFS Specifies converting the volume to NTFS.
/ V Specifies that Convert will be run in verbose mode.

For more options see the full syntax and info on the Microsoft site, the related article el 'HOW TO.

NB
The conversion to NTFS by the utility, does not involve any loss of data, but it is strongly recommended not to perform the conversion if you risk failure, however temporary (See time) of electricity cuts. Better also make a backup of data deemed important.