If you can't copy files that are bigger than 2 or 4 GB, usually HD movies and such, on to your USB key, it's usually due to the file system the USB key is formatted to.
In this day of age, it's very practical to have a Windows 7 installation on your USB key, for many netbooks and devices don't come with CD/DVD drives anymore.
A less known but very useful feature that works since Windows XP has been released. You can easily rename a bunch of files in a matter of seconds, let me show you how.