You can in fact copy a Library to a FAT drive, it's just very useless once you do.
Go back to the Mac guys, have them right-click the Library, "Open Package Contents", and copy just the video files out of that. A Library is a "package" on a Mac. It has lots of stuff hidden inside of it. Windows doesn't recognize packages, so it gets useless with a Windows OS.
If they're editing with FCPX, and you're using a different NLE in Windows, then they need to give you the raw footage to work with, and maybe an FCPXML file processed through XtoCC, if your NLE reads XML files. And that will be a less than perfect solution.