The process is usually straight forward {convert driveletter:FS/NTFS} but not so when using an external USB attached drive. Usually during the conversion initialization you will receive the following error:

 Convert cannot run because the volume is in use by another process. Convert may run if this volume is dismounted first. ALL OPENED HANDLES TO THIS VOLUME WOULD THEN BE INVALID.

After you dismount the drive you get:

 Convert cannot gain exclusive access to the K: drive,
so it cannot convert it now.  Would you like to
schedule it to be converted the next time the
system restarts (Y/N)?

This is where it gets fun–if you choose to restart the conversion will fail, as it will try to run before the USB external drive has had time to initialize–thus the process fails.

So lets try a different approach:

 convert k:/fs:ntfs /NoSecurity /X
The type of the file system is FAT32.
Enter current volume label for drive K: MyDrive
Volume Steve_Media created 1/20/2010 11:32 AM
Volume Serial Number is 014D-A8B6
Windows is verifying files and folders...
File and folder verification is complete.
Windows has checked the file system and found no problems.
  117,161,008 KB total disk space.
          272 KB in 7 hidden files.
          848 KB in 43 folders.
   49,333,936 KB in 2,295 files.
   67,825,936 KB are available.

       16,384 bytes in each allocation unit.
    7,322,563 total allocation units on disk.
    4,239,121 allocation units available on disk.

At this point you will receive an error about a dirty file system

 This drive is dirty and cannot be converted. You will need to
clear the dirty bit on this drive by running CHKDSK /F or allowing
AUTOCHK to run on it the next time you reboot.
The conversion failed.
K: was not converted to NTFS

This is fine–we will just flip the dirty bit “off” by running the following:

 chkdsk k: /F
The type of the file system is FAT32.
Volume Steve_Media created 1/20/2010 11:32 AM
Volume Serial Number is 014D-A8B6
Windows is verifying files and folders...
File and folder verification is complete.
Windows has checked the file system and found no problems.
  117,161,008 KB total disk space.
          272 KB in 7 hidden files.
          848 KB in 43 folders.
   49,333,936 KB in 2,295 files.
   67,825,936 KB are available.

       16,384 bytes in each allocation unit.
    7,322,563 total allocation units on disk.
    4,239,121 allocation units available on disk.

So now lets rerun the original convert command:

 convert k:/fs:ntfs /NoSecurity /X
The type of the file system is FAT32.
Enter current volume label for drive K: MyDrive
Volume Steve_Media created 1/20/2010 11:32 AM
Volume Serial Number is 014D-A8B6
Windows is verifying files and folders...
File and folder verification is complete.
Windows has checked the file system and found no problems.
  117,161,008 KB total disk space.
          272 KB in 7 hidden files.
          848 KB in 43 folders.
   49,333,936 KB in 2,295 files.
   67,825,936 KB are available.

       16,384 bytes in each allocation unit.
    7,322,563 total allocation units on disk.
    4,239,121 allocation units available on disk.

Determining disk space required for file system conversion...
Total disk space:              117218241 KB
Free space on volume:          67825936 KB
Space required for conversion:   214495 KB
Converting file system
Conversion complete

Congratulations on converting to NTFS and external drive.