Windows XP attempts to format drives using the 'FAT32' file system. It can't format any drive bigger than 32Mb and, on drives that have been formatted under FAT32, no file can be bigger than 4Gb.
However you can format the drive using the NTFS system, which gets round the problems. The 'Format' option doesn't offer you NTFS formatting by default; you need to enable it, as below:
Insert the card and open the Device Manager via this route:
Start > Control Panel > Performance and Maintenance > System > Hardware > Device Manager.
Find your card in the list and double-click on it (or right-click and select 'Properties'). Click the 'Policies' tab and select 'Optimize for Performance'. Once you've done that you'll then be offered an 'NTFS' option when you attempt to format the drive.
Note: Do that BEFORE trying to transfer your pictures, as formatting will wipe the drive!