From your description, the error is coming from Windows. The FAT32 filesystem, commonly used on portable storage devices, has a maximum file length of 256 characters. This is from the root to the filename extension, including all the \ characters, see
Wiki: Long filename. So, as theducks said, the first work around to try is to shorten any folder names that appear before you get to the Calibre primary folder. From the wiki description, it might be the short name of each folder that counts, and if so then it is the number of folder's deep the Calibre folder starts from that matters the most. If your actual filenames (after the last \) are longer than about 200 characters then you probably are screwed. However, FizzyWater's comment suggests that they are likely not that long.