The example code for the Copy File() function in the Scripting Index seems to contradict your claim:
Names Default To Here( 1 );
rc0 = File Exists( "$TEMP/x.jmp" );
rc1 = Copy File(
"$SAMPLE_DATA/Loss Function Templates/Normal.jmp",
"$TEMP/x.jmp"
);
rc2 = File Exists( "$TEMP/x.jmp" );
rc3 = Delete File( "$TEMP/x.jmp" );
rc4 = File Exists( "$TEMP/x.jmp" );
Char( rc0 ) || " " || Char( rc1 ) || " " ||
Char( rc2 ) || " " || Char( rc3 ) || " " ||
Char( rc4 );/* 0 1 1 1 0 */
What is the problem that you seem to have?