I believe Windows has something to do with a 2 gigabyte limit on files, but don't worry because PrimoDVD or RecordNow breaks anything over that into different parts. [such as game.gi, game(11).gi, game(12).gi] After you save these files to your harddrive, open just the game.gi to write to DVD and the software will use all files.
There's a great tutorial at
http://www.psxcopyworld.co.uk/Primo_Tutorial.htm.