The thumb drive you're trying to copy the large file to is probably not an Apple HFS+ format (FAT or ???) -- in the case of FAT formats, I think the largest possible file is 4GB (no matter how large the USB drive is) -- so my suggestion would be to erase and reformat the thumb drive as an HFS+ file system with Disk Utility and then try to copy your large file. Don't forget that when you format the USB thumb drive everything on it will be erased so make copies somewhere else if you need to before doing the format.
If you need help using Disk Utility to erase a volume let us know.
Good luck...