There's no copy/paste for adding music with iTunes.
Either go through iTunes File menu > Add to Library
or simpler still, drag the music files from wherever they are, and drop them onto the Library section in the iTunes sidebar (where it lists Music, Movies, ..).
If you have 'Copy files to iTunes Media folder' checked in iTunes > Preferences > Advanced (I think it is checked by default), it will then copy the music files to the Music folder in your user account