FAT (FAT16 and FAT32) and NTFS are two methods for storing data on a hard drive. The hard drive has to either be formatted using one or the other, or can be converted from one to the other (usually FAT to NTFS) using a system tool

NTFS is a high-performance and self-healing file system proprietary to Windows XP 2000 NT, which supports file-level security, compression and auditing. It also supports large volumes and powerful storage solution such as RAID. 
The most important new feature of NTFS is the ability to encrypt files and folders to protect your sensitive data