Great question! This is a common issue with many MPEG Long-GOP: http://en.wikipedia.org/wiki/Group_of_pictures or AVCHD video files. It is not a setting that you can change on your camcorder. Basically, the geniuses who came up with the FAT-32 file system: https://en.wikipedia.org/wiki/File_Allocation_Table for hard drives and solid state media that allows media to be read or written on a variety of operating systems for computers and camcorders. As an example, if you plugged in a hard drive or solid state drive that had been formatted with the FAT-32 file system, you could write files to the drive on a computer running Windows and then take that drive and plug it into a computer running Mac's OS X operating system and copy and paste the files onto a Mac drive. It's a robust file format in this sense because it allows a drive to be recognized by every operating system on the market today.
That being said, FAT-32 does have a 4 GB file size limitation due to the funky way it was created. Your Sony NX5U knows this and so it will split files when they get close to exceeding the 4 GB limitation. In fact, it seems to be splitting them even earlier at the 2 GB mark so that it doesn't run a chance of getting anywhere near the 4 GB limitation of FAT-32 file systems (which is what your media has). Unfortunately, there is no setting that will allow you to record files that are larger than 4 or even (in your case) 2 GB, nor will having a larger hard drive. That limitation is written too deep into the FAT-32 code (which your camcorder needs to use to write files) to overcome.
Unfortunately, that's not the end of the inconveniences for you. That's because when your camcorder splits the MPEG Long-GOP file, it will often do so smack dab in the middle of writing a 15 frame cluster called a "group of pictures", or GOP for short. This results in a loss of a few frames at the end of a file when each file is played back separately. If your playback software doesn't see a full 15 frame cluster, it will skip that cluster which results in the loss of those few frames during playback. However, the frames are actually not "lost". They are just not being read properly by your video playback software on your computer. What you need is a "smart" software that can recognize when and where a GOP was split and recombine the split frames with the frames of the start of the next file in order to make a full 15 frame cluster, or GOP.
Like Woody and Luis said, you can fix this issue by running your footage through Sony's Content Management Utility or keep the folder structure and import the footage straight into Adobe Premiere, which is smart enough to know when and where the file was split due to the limitations of the FAT-32 file system and will recombine your footage for you. In addition, you can use MPEG StreamClip to combine your footage since it also has the ability to know where a file has been split: http://www.squared5.com/. It's a free application.
Give those suggestions a shot and see which one works the best for your workflow! Welcome to the forum and happy editing!