There are ways of converting FAT32 to NTFS but unless you cannot remove the data off it, its best not to do this as the drive will run a little slower than a full format NTFS.
To format it with NTFS, right click the drive and select format.
ya like ^ said if you don't have any data on it then just right click on it in windows explorer and format. If you already have stuff on it and don't want to loose that you can use the window's ntfs convert utility. Open command prompt window and type
convert x: /fs:ntfs where x is the drive letter of your external drive.