How to change the traditional file system of a usb flashdrive(fat32) into ntfs or other file system?
This article answers your question:
Q: How do I format a USB Flash Drive to NTFS file system?
Important: To remove a device safely without data loss use a "safely remove hardware" procedure or Eject function from Windows Explorer.
You could use convert.exe:
where driveletter is the driveletter of your flash drive of course.