This doesn't happen because of a USB hard drive, though I'd agree with the post above that FireWire is a more effective connection when it comes to non-linear editing.
This happens because of your hard drive's format. Your external hard drive is formatted FAT32, which has a filesize limit (usually 4 GB, but I also run into the 2GB (9min dv video) limit when capturing.
There are three main hard drive formats:
NTFS-Windows only [No filesize limit]
Mac OS-Mac only [No filesize limit]
FAT32 (MS-DOS File System)-Windows & Mac Compatible [4GB/2GB limit]
Most externals come formatted FAT32, so nobody need reformat for functionality, but when you're editing video, this isn't the best way to go.
I have two external drives formatted FAT32 for storage and transfer among operating systems. I have two others formatted Mac OS Extended for when I edit.
In order to change the format, go to: 'Applications>Utilities>Disk Utility'
Be sure your drive is plugged in when you're ready to format.
*NOTE: Formatting the drive erases it as well. Be sure to back up all your information so you can reload it after it's been formatted.
Select the drive and click on the 'erase' tab. Set the volume format to Mac OS Extended (Journaled). Journaling protects against hardware malfunctions.
Hit erase, and come back in a little while to a fresh hard drive with no stinkin' file size limit!
P.S. You can also partition the drive in disk utility also. I have a 500GB hard drive split into 3 partitions. First partition is for application support for my editing programs (plug-ins, FCStudio library files to save space on my internal hd, etc.) Second partition is full of my additional editing tools (sound effects, stock footage, etc.). My third partition is my scratch disk. I keep all my captured footage, photographs, project files, etc. on that partition. It helps me organize and maintain all my projects in Final Cut and Avid.
PEACE!