Right-click the video file & choose Copy, then paste it where you wish. I am not sure why you feel you need to make 'copies' of videos you download. If you are talking about burning to a DVD, then that's something else which you didn't specify. Depends what software you have.

Ok after reading your previous post I see you are referring to burning a video to DVD. There has been many advices given on this topic on the forums, do a search for burn and dvd. I don't burn videos on windows so I cannot personally advise.

However, check the manual of your DVD player. Some DVD players do have ability to play MPeg4 or/& DivX videos & perhaps a couple other formats. Thus all you'd need to do is burn them onto a data disk & place into your player. At least I can do it that way on my player. A menu then appears similar to a mp3 disk. And likewise, some dvd players can play mp3 disks burnt to CD-R or DVD-R. Mine also plays DVD-RW. That's a lot of music you can fit onto one DVD. And similarly can fit many more movies on a dvd if burnt as a data disk or divx disk. No loss in quality, in fact because the videos are not reconverted/transcoded to dvd video, they maintain the quality of the video file you downloaded.