This means the drive is formatted improperly. Most drives come preformatted for Windows computers in the FAT32 format. This is not a good format for video, because the max file size is 4GB.
You can reformat the drive using Disk Utility.
Select the drive in Disk Utility. Repartition it to 1 partition (more if you prefer) and set the partitioning to GUID (assuming you have an Intel Mac), and set the Format to Mac OS Extended (journaled) also known as HFS+.