How to transfer large files from macbook pro to External Hard Drive?

I want to transfer a file from my Mac to an external hard drive, it says "The item “File name” can’t be copied because it is too large for the volume's format."
I am trapped, if there is any way you could suggest me to overcome this problem I will be grateful.

I may be wrong, but I believe the format has something to do with it - note the sizes here (from the Help in Disk Utility on how to format a drive for Windows):

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