Error copying large file to usb 16GB Thumbdrive Trying to copy a file (Win7_IE8.vhd) to a USB drive.

The file is 9.07GB in size according to my Mac file info.

The USB drive is 16GB.  I bought it new 10 minutes ago. This is its first use.

I get:
The item "Win7_IE8.vhd" can't be copied because it is too large for the volume's format.

How can I overcome this issue to copy this file which seems like it should fit?
The answer was that the default formatting was FAT32 which has a limit of 4GB per file.

The answer was to format the drive.  As I'm copying from Mac to Linux I chose the Ex-FAT format, all the better to interchange with.  I used the Disk Utility which is within a 'Utilities' folder which is itself at the bottom of the applications list.