Now days that all the movies are MKV and very large you must use NTFS file system to save movies (and other files)larger than 2G.
If you are using FAT32 you need to convert your file system to NTFS. there is no need to format you drive and loose all your data. you can simply convert it. :)
How to convert from FAT32 to NTFS:
Open the command line (run, then cmd)
Type: convert [volume]: /fs:ntfs and click enter
you will be asked to enter the drive’s name. enter the existing name.