I'm guessing your flash drive is formatted as FAT32. FAT32 will only let you store files smaller that 4GB (well actually 4GB minus 1 byte).
Your going to need to format the flash drive as exFAT(FAT64) or some other file system that supports large files.
YouTube video showing how to format drives in Disk Utility: http://www.youtube.com/watch?v=y9f2B-XQHf8 When you do this, you will loose any data stored on the flash drive.