The Convert Project tool will not work on a FAT32 drive. Since NTFS is the default file system for Windows since Windows 2000, your hard drive is probably NTFS unless it was deliberately configured to be FAT32. A USB drive is usually FAT32. To check your drive, go to Windows Explorer, right click on the drive icon and go to Properties.
On Linux: The Convert Project tool will run on a project stored on the ext4 file system (the default for Linux).
