How did you get it on there in the first place?
He has two external drives and is copying from one to the other. My guess is that the drive that contains the file, WD Caviar, is formatted NTFS and the drive he wants to copy to, My Book, is formatted FAT 32. FAT 32 has a single file size limit of 4 GB. If this is correct, he'll need to convert the My Book drive to NTFS. And, since I've gone this far...
Need Help: If the above is correct, and you need to convert the My Book to NTFS, be advised that the file structure conversion is meant to be non-destructive, but, if you have important data on the drive, it would be wise to back it up.
1) Open a command window with full administrator privileges.
2) Assuming the drive you want to change is F:, type:
convert F: /fs:ntfs and enter. Change the drive letter to the letter of the drive that you want to change and note the space in front of the "/".
3) When prompted, enter the label for the drive.
4) The drive will be converted to NTFS.
5) After the conversion is finished, exit the command prompt.
You should a) have all of your existing files and b) be able to add files without a file size limitation.
Best of luck!