This is normally due to a bug in the Windows Me OS.
CPY files are usually found in your System Restore’s Temp folder and are useless junk. However, deleting them is quite tricky: you need to boot from your Windows Me start-up floppy disk, choose to start without CD-ROM support (press [3] when prompted) and then type the following commands, pressing [Return] between each:
c:
cd _restore\temp
del *.cpy
This will remove all CPY files from your system. Remove your floppy disk and restart your PC. Preventing this build up in future is tricky: one way is to reduce the amount of space given over to System Restore, although you’ll have less room for Restore points if you do this. To do this, open the System Properties Control Panel and switch to the Performance tab. Click File System and you’ll find the slider on the Hard Disk tab. If, of course, you don’t use System Restore at all, then disable it completely: from the same dialog, switch to the Troubleshooting tab and tick Disable System Restore. Click OK twice.
Finally, the shaded folders and files are hidden ones. To make them disappear, open an Explorer window and select Tools -> Folder Options -> View tab. Select 'Do not show hidden files or folders’ and tick the box marked 'Hide protected operating system files (Recommended)’ before finally clicking OK!
Hope this helps