Select the disk in the Finder and choose Get Info from the File menu; if the disk's format is listed as MS-DOS or FAT32, you cannot copy or store a file which is 4GB or larger on it regardless of how much space is available on the drive. You need to either segment the file, or use the Disk Utility in the /Applications/Utilities/ folder to reformat the drive in the Mac OS Extended format.
If you need to access the drive from a PC, you can either install
MacDrive on the PC, or follow the instructions on
this page.
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