Really? It can't handle NTFS formatted USB sticks?
It might - my Mac can't format NTFS though!
In all seriousness, I keep my usbstick and iPod in HFS+ format. Now there's no practical reason why Windows should have a problem providing at least a little support for this format. Linux - no problem - actually, with the 2.6.15 kernel customized for such a purpose, I can read and write just as well as I could on the Mac. Stick the usbstick in Windows, and it says it isn't formatted.