Then you have maaaajor problems somewhere if you can only get 4Mb/sec via wired…
Should be more like 50-100x faster.
The biggest part of the puzzle is the “Warning” you’re getting.
Windows *never* gives that kind of warning simply from copying files.
My first guess is it may be related to a WebDAV issue.
Try browsing the WebDAV FAQ to see if that applies.
Even using WebDAV, though, that error shouldn’t be happening.