Since Windows 2000, you can use the convert tool to convert FAT32 partitions to NTFS, provided that enough free space is available to perform the conversion. Any drive can be converted "live" (although the system partition requires a reboot).

To run a conversion, you'll need the drive letter and the volume label. Fetch it using Explorer or by running a command on the command line:

vol C:
 Volume in drive C has no label.
 Volume Serial Number is A83C-E4E8

Next, run the conversion command. If you're converting the system partition, you will have to reboot to complete the conversion.

convert C: /FS:NTFS

This will perform the conversion. Note that it will probably take some time.

Notice

Once you have converted to NTFS, you can't go back to FAT32 (unless you use a third party tool).