If you want to convert from FAT32 to NTFS, follow the next steps:

1. Click the "Start" button, and click on "Run"
    
2. In the "run" box type "convert <drive> /fs:ntfs" and press "OK".

However, the best way in my opinion is a 3rd party product such as Partition Magic (version 7.0 or later). Lets you do everything from within the GUI and it's a delight to work with. Without Partition Magic, this is a one-way process (you cannot convert back to FAT without a reformat).