Hi could you post if your USB drive is formated with FAT or ext3? or NTFS? If external USB drive uses FAT it won't work with files bigger than 2GB, if it is NTFS then it won't write at all, only read. You need to copy file from PC via USB if it is using NTFS and you won't be able to record to it.
If you format USB drive from Settings -> Storage you will make it ext3 without any of the limitations from above. But you will need special driver to read directly on PC. But FTP will work with big files (like mkvs).