[TippeX]

erm, if i remember right windows actually has a program to do it for you...

or..

(run from command prompt)

D:\WINDOWS\system32>help convert
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.

so for example

convert D: /FS:NTFS /X


think theres a gui option to do it as well, i can't remember it though..
maybe someone else does