I had to do this a few times in the NT 4.0 days, and it looks like the procedure is the same for XP. Just get a command prompt, and type the following command:
convert <drive> /fs:ntfs /v
The biggest problem doing it that way is that it results in small clusters that can lead to more fragmentation. There was no built in defragger for NT 4, so it was a big problem, but it should not be as much of a problem in XP.
The above should work fine without losing any files, but you should back up anything important first.