Memory allocating error with coxph model
If you're using a 64-bit version of R on Windows (I'm not sure about other operating systems), then you can allocate additional memory to R with memory.limit function. 

memory.limit(size = 25000) ## limit is set based on Mb


32-bit version (depending on the system, whether it is 32-bit or 64-bit) is limited to 
2 to 4Gb.

You can further read about memory limits in R.

All that said, I would take a step back beforehand to make sure I actually need to deal with all that data and would investigate other alternatives.