When you drag / drop files, they are moved to the location where you dropped them. If you want to Copy the file(s) instead, hold Left on your Directional Pad when you drop the file(s). If you want to make a shortcut, then hold Right on your Directional Pad when you drop. The icon(s) you are dragging will change to indicate the function you are going to perform.
Here's another drag / drop tip. Lets say you want to expand a directory while you are dragging. Hold the file(s) you are dragging over the directory you want to open, then hit the Action button. The same technique can be used to close directories that are already open. Thus you can completely navigate your entire Pocket PC while dragging a file.
Dan East