Filesystem is as usual a pretty complicated thing. And I happened to have a new external hard drive that for somewhat reason was formatted as FAT32. Of course, I didn't notice until I put a bunch of data in it.

The time has come when I need to store file larger than the 4GB limit of FAT32.

So browsing around the internet, I found out that I can convert to NTFS without data loss and third party software from https://www.tenforums.com/tutorials/85893-convert-fat32-ntfs-without-data-loss-windows.html.

The steps that I took are:

1. Make sure data are backed up somewhere else.
2. Close all software/application that has the drive opened. I closed the File Explore too.
3. Run command prompt as administrator.
4. Run the following command in command prompt: convert <drive> /fs:ntfs. For example: convert D: /fs:ntfs
5. Restart the computer.

That's it!