Copy essentially performs an export and import where you can select one or more business units. If you select all then it will assume that all instance level configurations are needed also.
It will compare the setups between the source and the target and only the ones from the source that do not already exist in the target will be loaded.
A selection of what products you want to be exported provide you with control over the modules to be copied. Each product consists of a scenario which contains what setups need to be exported. These scenarios can be customized if needed although it is not usual to need to do this as there is total control over what is loaded also.