What is the diference betwen NTFS and FAT?

The NTFS file system, introduced with first version of Windows NT, is a completely different file system from FAT. It provides for greatly increased security, file–by–file compression, quotas, and even encryption. It is the default file system for new installations of Windows XP, and if you're doing an upgrade from a previous version of Windows, you'll be asked if you want to convert your existing file systems to NTFS. Don't worry. If you've already upgraded to Windows XP and didn't do the conversion then, it's not a problem. You can convert FAT16 or FAT32 volumes to NTFS at any point. Just remember that you can't easily go back to FAT or FAT32 (without reformatting the drive or partition), not that I think you'll want to.