If your Linux has the latest 2.6 Kernel it can read and write NTFS
FAT32 is is able to be read and written to by all Linux because it is a very old format
Edit :
The latest kernel provides read and write to ntfs not only read
FUSE is built into the latest Linux Kernel following poster plz update
Quote from the following below
"FUSE is built in into every Linux kernel version 2.6.14 or above"
Edit:
NTFS is much better than FAT32 because it supports journalling and Access Control List
I would recommend partitioning it to NTFS
The reason Linux connot open exe file is because WINE is required for Windows API to work even then ome relatively new software may not be supported by WINE
One thing to note about NTFS si that whenever you remove it from Windows be sure to 'safely remove hardware' first
So the data on the journal will be update to the data on disk
so no data error will be present
If you do not do that Linux will complain that the disk was not unmounted cleanly the previous time and refuse to mount it
Check your kernel version > 2.6.14 by using the following command in terminal
$uname -a
Edit:
Yes there is 2 way to go about doing this either
a)Get ntfs-3g as a program install it and use the ntfs-3g to mount your drive
b) upgrade your kernel to the latest version so FUSE it supported and NTFS read write is enabled
http://www.redhat.com/support/resources/howto/kernel-upgrade/
Either way is fine but upgrading kernel is more risky some older software may break so i think you might just want to install ntfs-3g