This will differ between installations but you may find only a 2mb or 8mb upload limit in the media upload area. There are usually server imposed defaults or something behind the scenes. The best way I have found to get this increased is to add a php.ini file to your admin root folder.
Sometimes you need more for audio or video, or even hi resolution images. You can always just ftp it to your server, but using the media manager is a good thing to do.
Below is the code I used:
[code type=php]register_globals = off
upload_max_filesize = 64M
post_max_size = 64M
max_execution_time = 300 [/code]