This can be caused by the format on the destination hard drive. Some internal hard drives and external hard drives are preformatted in a FAT32 File System. This File System is recognized by most computer operating systems, but has a 4 GB file transfer and creation limitation. This means you cannot create a file or transfer a file or group of files larger that 4GB to the hard drive.
If you are running Windows 2000 or Windows XP, you can delete the partition on the drive and reformat the drive with the NTFS File System. NTFS File System does not have this limitation. For details on reformatting and creating a new NTFS partition in Windows 2000/XP, please see Sweetwater Knowledgebase article 29378, formatting a hard drive.
If you are running a Mac OS, you will need to reformat the hard drive as the Macintosh native Mac OS Extended format. This can be done by erasing the drive in the Disk Utility program.