So - I don't really know the answer...but...a few questions / observations.
For info on exFAT, see:
exFAT - Wikipedia, the free encyclopedia
exFAT was designed for drives larger than 2 TB, but is also used for flash cards larger than 32 GB. What sort of drive are you trying to use - is it a very large hard drive...or a flash drive larger than 32 GB?
My guess, and it's only a guess, is that the Jensen won't support the exFAT format - but it's not that big a deal to format the drive and try it. So that's what I'd suggest - trying formatting it with exFAT and then (before loading it up) try plugging it in to the Jensen and see if it will recognize the drive.