DocLon,
I would be willing to bet your Passport external drive is formatted as FAT32. And, I know your thumb drive is. Unlike NTFS, FAT32 will not accommodate any file over 4GB. This is why you can back up the 2.5GB file but not the 5GB file. Generally, if the hard drive with FAT32 sees that the file is over 4GB, it will split it, saving 4GB on one sector and 1GB on the other. However, given you may be saving a compressed file, it would not be able to do that. And, it may not be able to anyway.
Attach them to your computer, open the Run command, type in "Compmgmt.msc" without the quotes, hit enter and select disk management. Right click on them and choose format and select NTFS. Save your files before obviously. You may not be able to formt to NTFS with your thumb drive, although it may be possible with other methods. If you can't, I would just purchase a newer one that is formatted as NTFS.
Why Western Digital chose to format a 250GB hard drive in FAT32 can only be explained by WD. Supposedly, it is because it will be compatible with any OS right out of the box.