The file system...only applies to the hard drive. The hard drive can be considered the storage cabinet, able to accommodate many articles.
The file system employed on the hard drive...if FAT is used...has limitations which are not there if NTFS is used. The key thing to remember is that a file is just a file, being placed in storage on the file system used by the hard drive.
Soooo...there is no such thing as a FAT32 file or an NTFS file. There are only files...and the file system used on the partition/drive. The only variable is the file system used by the hard drive.
One of the limitations of the FAT file system...has to do with the size of the file. You cannot store an 18GB file on a FAT32 file system in one piece, while it's easily done in NTFS.
Essentially...there is no reason to use FAT32 file system, while there is compelling reason to change the file system from FAT32 to NTFS.
Your file doesn't care which file system is used...but, as I said, the FAT32 file system has file size limitations....that don't exist if you use the NTFS file system.
You can easily change your file system from FAT32 to NTFS, Converting FAT32 to NTFS in Windows XP - http://www.aumha.org/win5/a/ntfscvt.php
Dated but useful, http://www.theeldergeek.com/ntfs_or_fat32_file_system.htm