In Windows! Yes, that’s right. I had to use the command line in Windows. As far as I know, the only way to convert a FAT32 drive to NTFS without using any kind of third party program, is to open up a Command Prompt. The reason I found this funny is because one of the main reasons people say that Linux isn’t “ready for the desktop” (whatever that means) is that it doesn’t have a GUI for certain things. Linux gets criticized because it doesn’t have a graphical tool for everything and you have to use the terminal every once in a while. Usually goes something like: “you have to edit config files by hand. Linux isn’t ready for the desktop.” Now you can’t tell me Windows has a GUI for everything. So that said, I have made up my mind. Windows isn’t “ready for the desktop”. I had to use the command line. 
(I do actually prefer to use the command line in Linux for certain things.)
How shocking. Windows really isn’t ready for the desktop, even Vista isn’t. Maybe 2050 is going to be the year-of-the-Windows-desktop. I’ve started praying already.
I’m pretty certain you just right click the hard drive in ‘my computer’ and choose ‘format’ then select ‘ntfs’ from the list, lol.
To format yes, to convert, no.