Windows 7 and newer versions come with a new version of the robocopy command that is able to copy files much faster then the normal copy command or copy function of the file explorer by using several simultanious threads. So if you plan to copy a large number of files, e.g. to make a backup, use the robocopy command.
Example Copy files from C:\myFiles to F:\backup and use 10 simultaneous threads. To execute robocopy, open the windows shell window or press the keys [Windows] + [R] to open the windows command line, then enter the command:
robocopy C:\myFiles F:\backup /MT:10
To get the full list of robocopy options, execute the command:
robocopy /?
For Windows XP or Vista, you can get the robocopy command from the Microsoft Resource Kit Tools. You can find a Robocopy Benchmark here.