exFAT or NTFS

I just purchased a WD MyBook external hard drive which is formatted in exFAT. I currently have Windows 10 for my HP laptop. Which format should I use? I have never reformatted a hard drive before. Is this something that is not too difficult for a non tech person to do? I do know reformating will erase all the current files off of the drive, is there any way that I can save the files that came with this?

What are the pros and cons of these formats?

TY

You can leave the drive as exFAT formatted. Which later you can also use the drive on Mac or Android or Linux systems.