Since most likely you have that external disk formated in FAT32, you can't simply copy more than 4GB in one file. This is a fundamental restriction of that filesystem, nothing to do with Outlook or with the procedure you use to do the copy.
The only real solution you have is to reformat that external drive using the NTFS filesystem, which can handle the large file. Other than that, you may split the file in smaller parts or try to compress it below 4GB (I don't like either one, but a quick workaround if you don't want to use NTFS).