Your FAT32 drives need to be converted to NTFS. Re-formatting not required. (But it is best to convert to NTFS by doing a full format, not the after-the-fact method.)
See
http://support.microsoft.com/kb/307881
Get yourself into DOS.
One way is to go to START > RUN and then type "cmd" and press enter (click OK)
If drive E: was the drive you wanted to convert from FAT to NTFS, the you'd type the following command to convert drive E to NTFS:
and press enter in DOS. It will convert. This can take a good bit of time, especially if the drive is full.
I've seen drives crash and become unstable by converting this way. Again, best way to convert is when formatting the drive.
FAT32 has a 3.99GB file size limit. So your "out of space" errors were from trying to put larger files on the drive.
Don't try to make smaller files -- that's stupid. Make the drive accept larger files. It's 2009, after all.