FAT32 is an older filesystem from Microsoft which was used in versions of Windows like Windows 98 and Windows ME. NTFS is Microsoft's "new" filesystem which was invented in the early 1990's.
NTFS has a number of features and improvements over FAT32 such as reslience to damage, performance, and support for files larger than 4GB. One of the advantages that FAT32 has over NTFS is that pretty much every computer made since 1995, and every operating system too, knows how to read and write to it. It's worth pointing out that the manufacturer of this drive markets it as being compatible with devices like televisions as well as PCs which is possible because it uses FAT32 instead of NTFS.
The practical upshot of all this is that if you're happy with the way it works now and you're not planning to try to store files larger than 4GB such as movies or other large files, then you can just leave it be. You will be taking a bit of a speed penalty but considering that the drive connects over USB 2.0 you probably won't notice it.
Should you decide that NTFS is the way to go, you ought to be able to convert the drive with Windows' built-in convert.exe command line tool, see this Microsoft How-To
for information. Bear in mind that while you can convert FAT32 to NTFS you can't go back without reformatting.