Right click on the tab at the bottom of the sheet you want to copy. Click on 'move or copy sheet'. In the dialogue box that comes up, you'll have the option to copy the sheet to a new book (ie file), and you have to click the 'create copy' tick box as well.
If you want to copy an entire workbook, find the file in Windows Explorer, right click on it and choose 'save'. Then just paste it wherever you need it to be. If that's in the same folder, Windows should just create another file called 'copy of xyz', which you can rename as you wish.