files larger than 4 GB on a USB stick

Normally it´s not possible to store files (or a single file) larger than 4 GB on a USB stick because of the FAT32 filesystem. Under Windows XP you can easily change this by converting the filesystem to NTFS.

Open the command line by clicking on Start -> Run and enter convert X: /FS:NTFS (for x type the drive letter of your usb stick).

After a while the process is finished and you´re able to store files larger than 4 GB on your USB stick.

more : http://support.microsoft.com/kb/307881