Well, the reason for this problem is because my file was 4.3 GB in size and my external hard drive was formatted in FAT32 format. The max file size for FAT32 is 4GB. The max file size for FAT16 is only 2GB!

Let’s try converting the drive to a NTFS and No Security setting. This can be done by:
·         Click the Start Orb
·         Click All Programs
·         Click Accessories
·         Click System Tools
·         Right click Command Prompt
·         Click Run as Administrator
·         Enter the command, convert <drive> /fs:ntfs /nosecurity (<drive should be the drive letter of your external hard drive, for example convert F: /fs:ntfs /nosecurity )