The default filesystem on the drive is FAT32 for compatibility, but that filesystem has a 4 GB maximum file size limitation. If you're only using the drive on a Windows machine, you can format it to NTFS to remove this limitation. This will remove any data on the drive, so make sure it's backed up first. To format the drive, find it in "My Computer" (simply "Computer" on Vista), right click on it, and select "Format".