The advantage of NTFS file system is more security options and fast. Normally USB drive capacity is very small enough that NTFS is not recommended. But, nowadays USB drives are coming with larger capacity also. So we can format USB drive with NTFS to have more security options.

NTFS enabled USB Drives are write-able only on one PC and becomes read only on all other PCs. Hence, we can read and write on our own PC and transfer files to elsewhere without any fear of virus.

In XP, only FAT and FAT32 file systems are available in format options, use the below steps to format in NTFS File System.

1). Insert USB drive in your PC
2). Go to Device Manager (Start>Run>devmgmt.msc)
3). Select Disk Drives and expand
4). Right Click on USB drive and select Properties
5). Go to policies tab and select Optimize for performance and press OK
6). Open My Computer, Click on USB Drive and select Format Option

Now you can have NTFS option there.