Your USB is probably formatted with FAT32 which has a maximim filesize of ~4GB. There also used to a limitation within Windows that could cause this but most likely your drive is formatted with FAT 32. Try formatting it with NTFS.
The external drive is probably formatted as FAT32. The maximum files size under FAT32 is 4 gig. I don't know why you would format a drive of that size as FAT32 unless you plan on reading/writing to the drive under different OS's. If you are using it strictly in a windows environment, then I recommend that the drive be formatted as NTFS.
**WARNING** Formating will destroy data on the drive.
If you plan on reformatting to NTFS, you will need to copy all the files to another drive first, then copy them back over once the drive is reformatted.