The main reason I can think of for using FAT32 is if I were dual
booting but had a partition shared between two operating systems, one
of which is Windows 9x.
If that's not the case, the NTFS is your best bet, and selecting this
during setup is the preferred method. There are web sites that
describe the differences much more comprehensively than I could, and
I'd be happy to point you that direction but I'm writing this on an
airplane at the moment and don't have my Internet connection. If I
remember, I'll try to post a link when I get on the ground.