If you installed W2K on a FAT32 the install gives you the option for NTFS. Either way unless if you do W2K as an upgrade you will lose the data stored on that drive. Unless of course your data is on another partion.
To go from FAT32->NTFS you cannot go back unless if you have a utility such as Partion Magic (R), or a imaging software such as Norton Ghost. So keep that in mind as you chose.
Hope that helps.
Good hunting!
Blessing,
theXing