What file system is the external drive?
FAT32, which most drives come formatted as, has a file size limit.
If I were you, I'd reformat it using NTFS - right click on the drive in Windows Explorer, choose Format, then choose NTFS for the file system.
Make sure Quick Format is not checked too.
This will take a while with a large drive, my external 250Gb took around an hour or two.
Hope this helps.