Have you ever tried formatting a USB Pen drive in NTFS Format? But must not have seen any option for this by default in XP. It allows you to only format your USB Pen Drive in FAT or FAT32. But its quiet easy to format it in NTFS. NTFS allows you encrypting your data which is a feature that is inbuilt in Windows XP and above. It also lets you to add allow and deny permissions on individual files and folders for specific Windows users, something you can’t think of using FAT file systems. But on the rear side, NTFS file system won't get detected in most LINUX systems.
However using NTFS file system also increases your performance and reliability. So here it is How To Format Your USB Pen Drive In NTFS File System: Plug in your USB device to any free USB port of you computer. 01. Now click on Start Menu button: 
And you will see My Computer icon there. Right Click on it and click on Manage: 
02. Once in Computer Management, click on Device Manager and a list will pop up in right hand side window: 
03. Now click on Disk Drives, select your USB Pen Drive, Right Click on it and select Properties: 
04. This will take you to the properties of your pen drive. Once there, click on PoliciesTab. Followed by clicking on Optimize for performance and then finally click on OKbutton: 
05. Now click on My Computer icon on your desktop: 
After opening My Computer, Right Click on your USB Pen Drive and select Format: 
06. Click on File system drop down menu and you will see 3 options now. SelectNTFS and click on Start button to convert it to NTFS File system:
All Done!
Now you USB Pen Drive is in NTFS file format, you can either compress the data in it or can encrypt the data.
Comments
I tried this... but it says "device media is write protected. Remove write protection or use another disk"...
what I have to do now?
I tried this. But it displays
"Device media is write protected. Remove write protection or use another disk"
Please help me...
USB Protection