Sounds like the message is "telling it like it is".
It appears that rather than copying the file the shortcut was copied instead.
To find the file, if you don't know where it is but can see the shortcut,
Right click the shortcut, select "Properties", locate the "Shortcut" tab and click "Find
Target"
This will open an explorer window in the directory with the file selected.
Copy the file.

Turn off the Caps Lock please.

What are you trying to do?

Copy a file from a disk to an Excel folder?

Open a file directly from a disk into Excel?

There is no command or method whereby you could copy a disk to Excel.

Gord Dibben Excel MVP