Cannot copy file. The parameter is incorrect.

What this probably means is you're trying to copy a file larger than 2 gigabytes. The 2GB limit on FAT32 is affecting you. The two formats to consider are NTFS and ExFAT. For some reason, I wasn't able to use NTFS on my usb flash drive, so I had to use ExFAT.

Unfortunately, I hit another error while formatting ExFAT. A quick search revealed that Windows 2003 needs a fix to format it correctly.

You can get the hotfix for 2003 and XP here.