So how do you fix this problem? Well there are two ways you can go about it. You can either split the file into smaller pieces and then copy it to your external hard drive or you can convert the file system to NTFS, where there is no limit on file sizes. (If the external hard drive is empty, just format it in NTFS mode. Caution: Formatting with data will delete everything in the external drive if not empty)
Now you should be able to copy your large files by either splitting them or converting the hard drive to NTFS! Enjoy!
Courtesy - http://helpdeskgeek.com/help-desk/file-is-too-large-for-destination-file-system/