I highly doubt, that NT4 is used, as that doesn’t support neither USB nor FAT32 file system. So this is something entirely different.
Edit: Ah yes… here it is:
…with NT4 included in the ‘Cause’ paragraph.
Just a bug in Windows Explorer in really old versions of Windows (W98 and NT4). It is not an issue of the file system.
@chef: Nice link
You can either convert the file system on your external disk to NTFS (see Windows Help for further information) or split your file into parts that are smaller than 4GB. Many imaging and video processing software offer options to do so during the processing of your data.