When you Move a message, you are deleting it from one location, and placing it in another. When you Copy a message, you are duplicating it to make an exact copy in another location.
To Copy or Move messages, select the message(s) you wish to perform one of these actions on, select the location you wish to Move or Copy to, and click either "Move" or "Copy" (depending on what you desire to do).
Observe the following:
In this case, the first two messages will be Moved to the Inbox. The drop menu allows you to choose any of the folders that are preset, or any that you have created (see Managing Folders for more information on that topic).