Hi, welcome to TSF.
1. You only have to convert it to NTFS if you want to save files bigger than 4GB.
2. If you convert (not format) the drive you should not lose any data - but there's always a risk of data loss when converting. I would save all important files on another drive - then format.
3. Sorry, but I don't understand this question - probably because I don't use Windows Media player. Please explain.