Well linux can read NTFS, FAT*, EXT2, EXT3, JFS, RFS, and many many more. Windows can read FAT* and NTFS (there are buggy unoffical drivers and software to read EXT2 & 3 from windows).
Its not a good idea (and I dont think its even possible anymore) to use FAT32 for linux. Linux depends on information that FAT32 does not provoide, permissions among other things. Trying to run a game/app on a FAT32 drive from within linux can result in wierd errors. (I dont know how these linux from within windows will work...)
So just let linux use EXT3 and let windows use FAT32. Linux can read and write FAT32 so you can copy files to and from your linux drive and your windows drive withou much problem (from within linux).
From within windows there is a nice "explorer" type app that will read EXT3 filessytems and you can use it to copy files from EXT3 to FAT32 from within windows (writing to EXT3 with it is a bit buggy though so dont try that!)
If you are just into "testing" get KNOPPIX. You dont even have to install linux, it boots directly from the CD and you can get a feel for linux through this (although knoppix is much slower than a real linux installation would be)