Why am I asked "Are you sure you want to copy this file without its properties?" when copying files from NTFS to a FAT drive?

Standard properties, that are not supported on all systems the same: http://windows.microsoft.com/en-US/windows-vista/Add-tags-or-other-properties-to-a-file

• Tags and ratings, "that might want to be removed before sharing with others" (because they couldn't put that stuff in the comments they already didn't use :-)

• NTFS files can hold ADS (alternate data streams) would be transferred to other NTFS file systems storages, but will be dumped when you go to Fat32 with it.
  http://answers.microsoft.com/en-us/windows/forum/windows_7-files/are-you-sure-you-want-to-copy-this-file-without/fa810b7e-f228-4661-9789-2090175dd7de

• EFS (encrypted file system) Keys are kept in ADS. Some backup or copy methods could ignore that, and move data that can no longer be decypted. The windows system would generally decrypt prior to moving to a file system that does not (directally) support encryption.
  Decrypt EFS files

For ADS, get some kind of ADS viewing capability and seeing if it was used for good or evil purposes. Even if it was for evil purposes, it is like other "data" in that an actual executable (of some sort) would be needed to make use of the data for evil purposes.

For tags and ratings, look in the properties of the files, or sort the "details" columns to show more items, use the Hover tooltips, etc.

Robocopy and other copy methods exist that would drop that data without popping up the requester.

My normal system had very limited use of the ADS on some files (being used for good). some of the system files had tags on them, other than that, the scans I did, did not show it on "every file" and on "downloaded files" and stuff like that. Hijackthis has an ADS scanner. I know very little about this, so I would be interested in anything you find out.