If you want all the security features you have to use NTFS. Other than that
it's strictly personal choice. Be aware however, if you use NTFS, a 9x boot
disk is useless to you for anything except deleting the partition and
starting over. If you have an actual XP CD, one purchased at retail as
opposed to an OEM supplied disk or recovery CD, that shouldn't be an issue
as the XP CD is bootable and comes with it's own tools.
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