Copying files of 10-15 GB to SanDisk USB Flash Drive

When I try to copy a big MP4 video files (approx 12 GB) to a 32 GB SanDisk USB, I get an error message that the file is too large for the destination file system. What should I do?

Sounds like somebody reformatted your USB drive as FAT32. The manufactured drive is formatted as exFAT which will handle large files. To support your large files you need to reformat the drive back to exFAT or return it to the seller for a replacement.