Not sure what type of copy you are wanting so here are some options

If you want a printed copy of the return select File>Print   or click the Printer icon

if you want to copy the file  select  File>Client File Maintenance>Copy/Backup   or 

to copy the file highlight the file, right click then select Copy/Backup

Or if you mean Copy as in Duplicate, you can use File > Save As and give it a new name and you'll have a duplicate copy you can use for tax planning or "what if " situations.