Just an educated guess... Do you have an older version of windows? Some older versions have a file size limitation of 4.7GB.
Another possible cause is if you are saving the file to a FAT formatted drive (often USB drives use this.) A NTFS formatted drive should allow for a larger file.
Linux and Mac would also have the same problems with FAT drives. ext3/4 drives on linux would be fine. (I'm not sure of the specifics on Mac)
Usually checking the properties of a drive will tell you what format (FAT/NTFS/Ext4/others) exists on that drive.