Many external drives are formatted in FAT the most compatible file system the most recent version- FAT32- is limited to a maximum file size of 4GB.
You can convert the file system one way FAT to NTFS but not back without formatting and reinstalling.....if you want to do this check if your external drive is formatted to FAT32
In My Computer - right click the external drive and check the format type is FAT type.
To convert a volume to NTFS from the command prompt:
Open Command Prompt. Click Start, point to All Programs, point to Accessories, and then click Command Prompt.
In the command prompt window, type: convert drive_letter: /fs:ntfs
For example, typing convert D: /fs:ntfs would format drive D: with the ntfs format. You can convert FAT or FAT32 volumes to NTFS with this command.
Important Once you convert a drive or partition to NTFS, you cannot simply convert it back to FAT or FAT32. You will need to reformat the drive or partition which will erase all data, including programs and personal files, on the partition.