Formatting?

It's true, Windows doesn't allow you to format a USB drive with NTFS, but pick the cluster size you want, then pick "Fat32" as your file system. Then run convert via command line. I've done it a number of times, and even with data on it, the conversion doesn't affect the data. All the security and other features that NTFS has that FAT doesn't apply to the USB drive. It's been the only way I've been able to get my USB drive to NTFS. Note that an NTFS drive won't easily be readable by older Windows OSs, which doesn't make it an ideal file system for emergancy kits and the like.

Here's Microsoft's article on the "convert" command (direct copy from the help file, Windows XP Professional, SP2):

Syntax
convert [volume] /fs:ntfs [/v] [/cvtarea:FileName] [/nosecurity] [/x]

Parameters
volume
Specifies the drive letter (followed by a colon), mount point, or volume name to convert to NTFS.
/fs:ntfs
Required. Converts the volume to NTFS.
/v
Specifies verbose mode, that is, all messages will be displayed during conversion.
/cvtarea:FileName
For advanced users only. Specifies that the Master File Table (MFT) and other NTFS metadata files are written to an existing, contiguous placeholder file. This file must be in the root directory of the file system to be converted. Use of the /CVTAREA parameter can result in a less fragmented file system after conversion. For best results, the size of this file should be 1 KB multiplied by the number of files and directories in the file system, however, the convert utility accepts files of any size.
For more information about using the /cvtarea parameter, see "File Systems" at the Microsoft Windows XP Resource Kits Web site.(http://www.microsoft.com/)

Important

You must create the placeholder file using the fsutil file createnew command prior to running convert. Convert does not create this file for you. Convert overwrites this file with NTFS metadata. After conversion, any unused space in this file is freed. For more information about the fsutil file command, see Related Topics.
/nosecurity
Specifies that the converted files and directory security settings are accessible by everyone.
/x
Dismounts the volume, if necessary, before it is converted. Any open handles to the volume will no longer be valid.
Remarks
You must specify that the drive should be converted when the computer is restarted. Otherwise, you cannot convert the current drive.
If convert cannot lock the drive (for example, the system volume or the current drive), it offers to convert the drive the next time the computer restarts.
The location of the MFT is different on volumes that have been converted from previous version of NTFS, so volume performance might not be as good on volumes converted from Windows NT.
Volumes converted from FAT to NTFS lack some performance benefits compared to volumes initially formatted with NTFS. On converted volumes, the MFT might become fragmented. In addition, on converted boot volumes, NTFS permissions are not applied after the volume is converted.
Examples
To convert the volume on drive E to NTFS and display all messages, type:

convert e: /fs:ntfs /v

I believe that it works on Windows 2000, NT, and other Windows OSs that use NTFS as their native file system. Good luck!