external hard disk

hello every body, i have this problem, i bought an external hard disk, that i connect to my computer at home by an usb/cable, but i can not put any file of more than 4gb on the hard disk, i can save files of 1gb but when i try to save files of more than 4gb, one window appear and said there is not space in the hard disk, maybe is due to the fact that i am using an usb/cable to connect my hard disk to my computer, maybe with a serial data/cable i would be able to saved more than 4gb, anyway i would appreciate that somebody give me an advice for my problem, thanks.