Usb too large for the destination file system

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However, when attempting to copy the files to the hard drive, I receive the error that says The file '' is too large for the destination file system and have to abandon the copying process.

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I have some large database files (4-7GB) that I need to transfer to an external hard drive (WD My Book, 6TB). This is my first SuperUser post, so please bear with me if I make any mistakes, thanks.