Here are some Specs:
NTFS: Windows Only File System which allows you to have Files greater than 4Gb of space (less limits)
Fat32: MS-DOS File System (former Windows Partition) which is more "Universal" or compatible, but can't have files greater than 4Gb of space
HFS+: Mac Only File System which allows you to have any type of file in any time of amount 10, 20, 30 Gb for example (dont have limits)

A good recommendation is if you store .ISO's or .DMG's (DVD Images) in whatever format, put them on a DVD Disc and backup all of your info inside the PC and Format it in /Applications/Utilities DiskUtility into a Fat32 System there you'll have greater compatibility (please dont ask me how to do it) just put you're thinking cap and learn how