You should be able to do it in XPs Disk Managent section but there is a possibility of losing data during the conversion.
The best way, if you can, is to save the data to another drive and format it as an NTFS partition.
Bear in mind that if you later want to use the external drive on a 98 or ME pc that it wont be able to "see" anything on it.
Another way to do it safely, if you have less than 50% of your drive used and have nowhere else to save the data to for formatting it is to use Partition Magic.
Create a new partition with it using approximately 50% of the drives capacity.
It will save the existing data on to the first partition and make a new one that you can format as NTFS.
Then move the data from partition 1 to the second one and format that partition as NTFS.
Then if you like you can merge the partitions again using Partition Manager.
Bit fiddly but if you cant save all the data to format the drive its possibly the safest way