Agreed.
You likely want to know how to create a FOLDER as well. Generally you can right-click inside Windows Explorer (launch "Computer" or "My Computer").
For example, let's say you have some data in "My Documents" and want to copy that to a hard drive:
1. Open Windows Explorer
2. Go into the second hard drive (possibly "E" drive)
3. Right-click-> New-> Folder
4. NAME it something (i.e. "Test")
5. Go into "My Documents"
6. Click "CONTROL" then left-click every file you want
7. Right-click one of the highlighted files and choose "COPY"
8. Go back to the TEST folder you created, right-click and "PASTE"