Martik USB Disk Formatter makes this even simple. It is a small and portable utility for Windows that lets you format your USB drive into FAT 32 or NTFS file system.
The main benefit of this utility is Windows XP users can now effortlessly format their USB drive into more secure NTFS format, if they like. Because, in Windows XP there is no straight way to format a USB drive into NTFS mode.
Interested readers can download it free at source.