As mentioned by others with FAT32 you're limited to files no larger then 4gb... Also, your external HD may be full.
Now, the easy solution is to switch to NTFS... I'm assuming you are not accessing that drive with older versions of windows or Mac.
NOTE: No need to format and loose all your data as mentioned by a previous poster.
To go about this open a command console. Assuming Windows XP:
Click Star > Run, then type "cmd" (w/o the quotes) then hit enter. This will bring a black, dos-like console. Then type:
vol x ,
Where "x" is the letter assign to the external drive by windows. You'll get a message saying ::Volume in drive "X" is "yyyy":: Write the name down.
Then type:
convert x: /fs:ntfs ,
Once agian, "x" is the letter assign to the external drive by windows. You'll be asked for the disk volume name, type the name you got with the previous command.
Google "convert ntfs windows" for more info about this handy utility; or visit http://technet.microsoft.com/en-us/library/bb456984.aspx