Some small OS's may have support for these, or they may be available using third-party IP stacks. Of course, if the OS (and IP stack) give you a working base, including UDP and TCP/IP, the you should be able to implement these protocols in application code if needed.
Actually, if NTFS and ext3 are both on the requirements list, then Linux is, I think, the only option - no matter how much you are willing to pay.
Could you please show me one or two examples of similar do-it-yourself- on-the-weekend type of OSs for embedded systems, which may have either less costs, or better architecture, or better performance?
Why don't you do some web searches. Try keywords like "real time operating systems reviewed" or some such. If Google and the like don't help, try EE Times, Electronic Design, Embedded Systems Design, and related sites.
If you want to learn about a product, why not trying going to the relevant website and /reading/, rather than making guesses and then asking others for confirmation? QNX supports ext2, and read-only NTFS access. It has better file system support than Windows, but does not compare to Linux (of course, it has very different target applications than Linux).
Thank you for your suggestion, actually I did web seraches before I asked. However, I only tried Google though, I would go try the websites you brought forward.
One lesson that I have learnt during the past years, is always to confirm before you trust. One information source, no matter it is from website, or books, or newsgroup, is not enough. To me, a web search (silent) together with a discussion (at web or meeting room) is a good match.