This is due to a file size limitation in FAT32 - the most likely file system format on any USB Flash drive or Flash memory card larger than 4GB. Except for Microsoft's exFAT, there is no reliable way around this Microsoft limitation. exFAT has problems of its own that may be more significant than the 4GB file size limit of FAT32.
The following information describes a process that should be followed only by file system experts who understand and accept the consequences. NTFS is not specifically supported on Gigastone/ Dane-Elec USB Flash Drives or Flash memory cards. NTFS was not designed for removable devices and could result in unexpected malfunctions including incompatibility with other computers and host, and complete loss of all data stored on the Flash device. Formatting and Reformatting will cause loss of all data currently on the Flash drive. Gigastone/ Dane-Elec is NOT responsible for the consequences of taking any of the following actions.
If you have Windows XP, in the Hardware Device Manager, you can set the "Write caching and Safe Removal" setting to "Optimized for Performance". This will then allow the Flash drive to be reformatted with NTFS, which will then allow storage of files larger than 4GB.
Remember: you should not attempt to use NTFS unless you are an expert on computer file systems.