NTFS (windows XP standard) for drives bigger than 32gb can only be written/read from within windows. OSX can only read it.
FAT32 both can read and write to it but are limited to 32GB (* EDIT: Might not be completely true see below)
HFS (or any variant) only OSX can read/write to it.
"Windows XP: The Windows XP installation program will not allow a user to format a drive of more than 32GB using the FAT32 file system. Using the installation program, the only way to format a disk greater than 32GB in size is to use NTFS. A disk larger than 32GB in size can be formatted with FAT32 for use with Windows XP if the system is booted from a Windows 98 or Windows ME startup disk, and formatted using the tool that will be on the disk" taken from
http://www.forensicswiki.org/wiki/FAT#FAT32
So you could possibly do it, open up Disk Utility (from with OSX) and format the drive as Fat 32 if it will let you. BACKUP what ever is on the external if it isnt already as it will be lost when the drive is formatted.