Well, I've never actually had a problem like this myself so I'm not to sure but I'll look into for you, it would really help if you were to post the brand of the external drive you're using.
EDIT:
and what exactly does the message say?
Edit2:
Also make sure it's formatted a NTFS and not FAT32, according to one of my pals, a FAT32 format has trouble with transferring big files.(not too sure about this one though, from what I gather, it fixed it for some and made it worse for others, I've never gotten the opportunity to mess around with an external HDD so I'll ask some people who have.)