Thanks for sharing the screenshot.
As expected, the USB stick File System is FAT32 which cannot handle files larger than about 4 GB in size. To fix this issue, you should change the USB stick file system from FAT32 to NTFS.
If you have any data inside your USB stick, back-up them somewhere else. Right-click on the USB stick > Format > Change the File System to NTFS > Format.
After that, check to see if you are able to copy your file into the USB stick or not.
Please keep me posted if you need further assistance.