Even though the file itself may have a filename of 9 characters plus extension, it could be buried inside of multiple folders. So when you mount your external USB drive and it shows up as, say, Drive M:, The number of characters in the complete path to the file starting at "M:" and including all directories in the path to the file plus the number of characters in the filename itself cannot exceed 255 or Windows refuses to handle it.
Robocopy is a command line program. You must type in the command from a command prompt window (Start -> Run -> "cmd"). It works by accessing the file using a different set of library copy routines that does not have the 255 character limitation. A documentation file should accompany Robocopy explaining how to use it.
Another method that might work for you is to take the folder that your .wmv file is in (or perhaps the folder two levels above) and temporarily move it to the root directory of your external drive. This will shorten the path to the file and allow a normal copy to work.
HTH,
JW