There is a limit. It depends on the file system. If you're using FAT32, the limit is 4 GB. If you're using NTFS, the limit is much greater than the size of your drive.
The only restriction under NTFS is the entire volume minus the MFT and a few other components/overhead, there is virtually no limit.
~~Mad Mod Mike, pimpin' the world 1 rig at a time