The copy command is "cp", so try something like :
If it works ok it should just come back to the command prompt. Also you can do "ls /sdcard" to see everything there, e.g. see if it really did copy it to the SD card.
Thanks. I will try it out.
EDIT: Solved. I had to follow advice from somewhere on the web. I had to put the card in a reader on my windows pc. Navigate to "Computer", then right-click drive "H" (that is what the msd card is on my pc), then click "Properties". After that, I selected "Tools", than clicked "Check now", and clicked "start". However, making sure that the first box (automatically fix file system errors) is checked. Leave "scan for and attempt..." unchecked.
Let the pc do its thing, and when it is done, that is it!
But hey, thanks steviewevie for being there and for being prompt to help me and others get our way around Android.