Код:
begin
CopyFile('c:\WINDOWS\system32\user32.dll', PChar(SaveDialog1.FileName), False);
end;
потому что CopyFile это WinAPI функция:
The CopyFile function copies an existing file to a new file.
BOOL CopyFile(
LPCTSTR lpExistingFileName, // pointer to name of an existing file
LPCTSTR lpNewFileName, // pointer to filename to copy to
BOOL bFailIfExists // flag for operation if file exists
);