Your  hard drive is pre-formatted to FAT32 file system that allow you to use the hard drive both on Mac and PC, but you cannot transfer files bigger than 4 GB. To be able to copy bigger files on Windows, you will need to change the file system to NTFS.

You can change the file system easily

• please note that by changing the format you will lose all the data on the hard disk so
  it is recommended to save it first
• right-click on My computer, select Manage, then Disk management, right-click on the white-grey field corresponding to your device, select Format. Follow the wizard and choose the NTFS file system.

You will then be able to copy files bigger than 4 GB.