The files aren't gone because the format is now NTFS, they are gone because the device was formated. Formating erases the contents of the device thats being formated. You may be able to recover the data, but I wouldn't hold my breath. Windows can handle fat and NTFS formats no problem. A camera or other similar device may not be able to handle NTFS though. If it used a custom format that windows can't handle, that may be why you were prompted to format. If an SD card or USB thumb drive gets corrupted, it can cause you to get the prompt to format the device.