In classic versions of the Mac OS, when you selected a file in the finder and chose "copy" you would most likely just copy the name of the file. OS X treats copy a little differently and you can use "copy" to copy a file from one location to another.
Select the file (not the name of the file) and either type command-C, choose "copy" from the edit menu, or copy from the contextual menu.
Navigate to a new location and "paste" the file. A copy of the file will now be in the new location.
Note: if the name of the file is highlighted, as shown below, you will only copy the name of the file.
Source : mactipsandtricks.com