Please help! Converting FAT32 to NTFS

First of all I'm not even sure if this question is under the right category, so I'm sorry if it isn't.

I just installed Windows XP today and I wanted to make it so that people could make their folders private so that other people can't see them, but it wouldn't let me do this, and so I looked at the Help section which said something about converting from FAT32 to NTFS which is what I need help with.

I followed the instructions that were in the help section by opening a Command Prompt window, and I typed this:

convert C: /fs:ntfs

and then it said on the screen on the next line:

The type of the file system is FAT32.
Enter current volume label for drive C:

And I have no idea what this means or what I'm supposed to type, so if anyone could help me with this it would be greatly appreciated because I don't know that much about computers.

 

http://www.microsoft.com/windowsxp/home/using/productdoc/en/default.asp?url=/windowsxp/home/using/productdoc/en/choosing_between_NTFS_FAT_and_FAT32.asp