That external drive must be FAT32 format which has a limit of 4GB.
To load larger files it needs to be NTFS format.
However reformatting the drive wipes out all current data on the drive so you need a copy/backup of any files/directories.
With Windows 8 you can verify the format of the external drive by going to Control Panel/Administrative Tools/Computer Management and clicking on Disk Management under Storage.
To reformat the drive go to Computer right click on the external drive click format the next screen should have NTFS as default. Un-Check Quick Format then Click start.
It will take a while depending on size.