size limit for file copy?

I just added a brand new external hard drive (500Gb Western Digital) to my system. I want to use it for video edition. As I already had some very heavy video files on my internal drive, I tried to copy them to the new external one. The 'small' files did OK (up to 3Gb), but from 6Gb on, they won't copy, and the system says "Insufficient disk space" and offers to clean the G: drive (external), which is almost empty.

My system seems fast and large enough to cope with most of what I ask from it: Intel Quad-core CPU @ 2.40 GHz, 2 Gb RAM. My 250Gb internal drive has 25% empty space.

So I wonder: is there a size limit for files to be copied from one drive to another? If not, what's the problem?

Thanks!

That ex drive is most likely FAT32 so yes there is a 4GB limit per file.

Thanks for this straightforward answer. It's FAT32 indeed. I wasn't aware of a size limit.