A better solution, which most Mac users do is to format external hard drives in the new Windows NTFS format, both Mac's and Windows can read and write to NTFS with unlimited file sizes, you just have to install
MacFUSE and
NTFS-3G on Macs to enable NTFS support first.
(both free, and dont take up any room on your system, made by Google) Links included, just click the names
You dont have to isntall this on your Windows machines obviously as NTFS is native to Windows
Enjoy