It’s pretty clear in the WD 2go FAQ. http://support.wdc.com/product/wd2gofaq.asp?lang=en
Maximum file size supported: 2GB.
If you can copy files larger than 2GB, that’s great – you’re lucky (and so am I, because I can copy up to approx 4.2 GB) – but WD isn’t going to support it, and isn’t going to help you get there.
Here’s copying a 2.5 GB file.