you have two options:
option 1:
go ahead with original plan and split file with software like winrar.
option 2:
backup all your data on the external harddrive, delete all the data through a process called formatting and at the same time change storage format from FAT32 to NTFS.
option 3 (kinda option 2):
do not backup data, just format.
in your case option 1 sounds like the best idea should you not have physical room for a complete backup of your important things.
*edit*
it is possible to convert a drive to NTFS from FAT or FAT32 without formatting, this is however not recommended as the process can screw up the index and as such you will have to format anyway which kinda defeats the point. all in all without backing up doing anything to the drive other than writing/reading is a generally bad idea, just in case something does happen.
should you still want to do it you just have to connect your drive, press windows button + R, enter CMD, press enter, and write:
convert X: /FS:NTFS
where X is the letter of the drive you're trying to convert in My Computer.
@confused regarding FAT32 vs NTFS
the main reason FAT32 discs are still floating around is because macs don't play with NTFS, but both windows and OS X play with FAT32, thus making the external drive universal for all intents and purposes.