At hight rates I worked with files of up to 20 GB so I don't think this is the problem.
I will try to run it under Ubuntu and see if i can recreate the problem.
Thank you very much for the quick responses and help.
Even with writing for one night no problem (see below). Have you checked how big your data file is? I guess there is a limit under Windows of 2 GB. If that's the case, you have to write shorter files.