Video files (link .mp4 files) have got bigger and bigger over the years. It is a common problem that if they are above 4GB, they will not copy onto a USB memory stick.
If you find smaller files will copy, but those above 4GB will not, then the problem is likely to be that your USB memory stick is FAT32 formatted.
FAT32 is an older file system that’s not as efficient as NTFS and doesn’t support as big a feature set, but does offer greater compatibility with other operating systems.
NTFS is the most modern file system. Windows uses NTFS for its system drive and, by default, for most non-removable drives.
Get a new USB (with nothing on it as the reformat will delete the contents), right click on it, format, NTFS, start. It will reformat in seconds. Then the USB will accept files above 4GB in size.