Many of us face this issue at the time of copying something in external hard drive this is because your pen drive is formatted with FAT32 systems.
I was trying to copying Bollywood movie Bahubali but I Got this error
If you want to make it work you will have format your pen drive with NTFS system then it will definitely work for you.
Go to your pen drive and right click on it choose format
When you click on start it will give you warning you have to click on OK
After completing format it will show you