As PC World explains, you can easily add your favorite folders -- like My Documents or a shared network location -- to the Send To menu, which lets you copy a file by right-clicking and choosing the destination from the Send To menu.
To extend the Send To list, open the Start Menu and click Run. Type "sendto" and click OK. Now drag a folder into this window with the right mouse button and choose Create Shortcuts Here. The Send To menu will include that new location, so you can copy a file there with one swift right click motion.
If you're using Windows Vista, this technique won't work. Thankfully, The WinVista Club has the skinny on customizing the Send To menu in Vista (with one critical error I've corrected for you here). Just type this into the search box in the Start menu and press Enter:
Just be sure to replace [username] with the name of your user account. Once the folder opens, you can right-drag the desired folder in just as I explained for Windows XP.