This is the easiest way to NTFS format your USB drive within XP. I've found this on the net.
Note: After NTFS formatting, you always have to use Safe Removal, you can't quick remove your drive!
Excuse my mistakes, I'm from Hungary :)
Step 1: Run Device Manager
Get to Run in Start menu, and type devmgmt.msc, then press OK.
Step 2: Select Properties
Press the + sign next to Disk drives, and find your drive. If you have no idea about it's name, then remove your drive, and it will disappear in the list, so you know it's name. Plug the drive in.
Right-click on the drive, then select Properties.
Step 3: Change Policy
In the window choose Policies tab, then choose Optimize for performance (the Optimize for quick removal is the default)
Windows' default policy is that you can remove your drive any time, but after this you won't be able to do so.
Step 4: Now Format Your Drive
As you can see, you have the ability to format your drive either FAT, FAT32 or NTFS.