The FAT32 format has a limit on how large single files can be (its 4GB) but other formats like NTFS allow larger files. However, NTFS isn't always mac friendly (if that matters to you).
Here is a link about the file types http://www.pcmag.com/article2/0,2817,2421454,00.asp
If you need help formatting the USB drive check out this youtube video or google it https://www.youtube.com/watch?v=FbkC5PyAMag
Cheers,
Kevin