Like most forms of storage, USB flash memory drives have become
both spacious and relatively inexpensive—16GB drives typically cost
less than $40, and many 32GB drives can be had for well under $100.
Flash drives usually come preformatted from the factory using the
FAT32 (32-bit file allocation table) file system, but FAT32 limits the
size of individual files to just under 4GB, which could be a problem if
you need to store extremely large files such as system image backups or
uncompressed movie formats.

You can get around the 4GB filesize limitation on a high-capacity
flash drive by formatting it with NTFS (NT File System). Vista will
let you do this by default—just right-click the drive icon in
Computer, choose Format, and then select NTFS from the File
System drop-down list.But WinXP won’t let you format
an NTFS flash drive unless you make a modification first. To do
so, plug the device into the USB port and then open My Computer.
Right-click the drive’s icon, choose Properties, and then click the
Hardware tab. Highlight the flash drive in the list of drives shown and
click the Properties button. Finally, click the Policies tab, select the
Optimize For Performance option, and click OK twice. Now WinXP
will list NTFS as a flash drive formatting option as described above.

One important caveat: To avoid the possible loss of data, right-click
your NTFS-formatted flash drive in My Computer and choose Eject
before removing it or use the Safely Remove Hardware icon found in
the Windows System Tray.