Quoted from YeOldPinPlayer:
2 Tb is the FAT32 drive size limit.
The file size limit for any individual file is 4Gb. None of the files in question approach 4Gb.
None? Earlier you wrote:
Even if you copied the .zip file by mistake it's only slightly over 4 Gb so would easily fit on a 16Gb flash drive.
And indeed, the .zip file is 4.1 GB (as you say), which means it would not be able to be copied to a FAT32 drive.
If the OP is incorrectly trying to copy the .zip file to the drive, that would explain the failure.
They can instead open the .zip file from its download location on the PC, and just drag the files that are inside the .zip file over to the thumb drive.