The limit that’s set there isn’t set by WordPress – it’s set by the settings on your hosting server.
You’ve got four choices really…
First, you can try to set the limit higher yourself by using some php.ini tricks. Do a search for that and you’ll find a lot of information, but it’s going to be a bit technical so if you don’t know what you’re doing it may seem over your head.
Second, contact your hosting company and ask them to raise the upload limit for your account.
Thirdly, you can use FTP to upload the files to your site. You’ll have to figure out the URL for the links yourself though because WordPress won’t recognise them without an entry in the database.
Finally, I use a work-around when files are to big, and it works fine – however it does require the use of FTP to get the files onto the server and it is a fair few steps. I won’t go into it here yet because it’s really a last resort.