FAT 32 FILES TO NTFS FILES

I ORDERED ZDNET’S GUIDE TO USING WINDOWS XP. ON PAGE 11 OF THIS GUIDE IT RECOMENDS THAT YOU SHOULD USE NTFS FILES INSTEAD OF FAT 32 FILES. IT STATES THAT IT IS AN EASY PROCESS BUT I AM UNABLE TO FIND IT ANY WHERE ELSE IN THE BOOK. CAN YOU PLEASE TELL ME HOW TO CHANGE OVER TO NTFS FILES. THANKYOU GUY M. LAWRENCE