You need to format the drive using either ExFAT or NTFS. Most likely, the drive shipped using the ancient FAT32 file system, which can only move single files up to something like three or four GB in size.
If you are using on a Windows computer only, format it using the more robust NTFS. If you want to be able to use it on a Windows, Mac (or other non-Windows device), format it using ExFAT. I
(You probably know this already, but go to my computer - right mouse click on the drive - click format - change the file system to NTFS or ExFAT - click format, and youre good to go.
(also, if you are using it only on Windows 8/8.1/10, you may want to use the DiskPart menu to change the drive from master boot record to a guid partition table, as its a little more robust.)
