The only thing I can think is that the movie is too big. If the card is formatted as FAT32 and the movie is over 4GB it won't copy due to the 4GB file size limit. You'll have to format the flash memory as exFAT or NTFS.
If the movie file is over about 3.5GB or 4GB and the drive is formatted in FAT32 then it won't work.
You'll need to format the drive in eXFAT or NTFS as said above. Make sure you back up your data before you do that though.