Because a file or folder is locked, in use or your current account does not have permission.
But let me suggest you reveal what you are attempting to do. Such a copy sounds like you are trying to backup. This sort of backup is rarely useful.
Bob
I have Windows Vista Home Premium. When selecting folders and files from the root folder [C:\], and copying to an external HD[250GB], only the first 5 folders were copied. Why is this ? Thanks.
christy

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic