Formatting it as NTFS is one option. NTFS, however, isn't really optimized for removable drives, as I understand.
exFat was added in Vista SP1. it was more or less an improved FAT32. You could reformat your flash drive as FAT32- doing so could require additional tools. You can find some of those described in
This article on the subject.
Now, one might simply say that exFat is too new for Windows XP. And that would typically be the case- but, that is where it get's interesting- because Microsoft did release a patch to some of their previous operating systems, including Windows XP, that added exFAT support. These were found as KB955704.However, as you can see on the associated
Support Page Despite there being instructions for Windows XP, and despite the other released windows versions having a link- they seem to have specifically pulled the Windows XP version! There is seemingly no explanation for this.
I did some searching. First I stumbled onto
this Microsoft Answers post, where somebody else has the same issue. it is met by the "support" of one MVP who apparently is as dense as lead- asking "what problems are you having that you think it will solve" and blabbering about security updates and Internet connections.
I did find a source for this update, another individual made these same discoveries and uploaded the update file in question. But the site owner was concerned about traffic "Do NOT link to this site from ANY kind of high volume service or web site. Doing so will make this page go away.". I don't know whether this forum counts, but it's possible this page could get google indexed and if I linked to it that could count... Because of that, I've gone ahead redownloaded the file and rehosted it
myself.
As far as I can tell the file is still digitally signed and doesn't appear to have been tampered with.