NTFS is the fix, not the problem... FAT32 (which external hard disks tend to come preformatted as, for compatibility with Macs) doesn't support files that are more than 4gb each. So ImgBurn breaks up the .iso data and spreads it across as many files as it needs, and combines them using a .MDS file which you would then use to burn/mount/etc. instead of the ISO.
If you're gonna only use that hard drive on a PC (no writing on a Mac, no read/write ancient Win9x/ME PCs), you can "convert" the drive to NTFS using a simple procedure...
1) Start/Run
2) Type "cmd", click OK
3) At the prompt, type "convert J: /fs:ntfs" where "J:" is your external drive letter (as per your screenshot)
4) Sit back, relax, and watch the conversion, when it gets done you'll have a NTFS drive instead of FAT32!
Thanks a lot Falcon! This won't delete any files I have on there will it?
EDIT: Falcon, could you PM some more info on DVD ripping programs?