I don't have Outlook 2007 available to check , but in Outlook 2010, the option Move Copy to Folder is immediately below the option to Move to Folder .
If it is not present in 2007, you will need a macro script run from a rule e.g.
Code:
Sub CopyToFolder(olItem As MailItem)
Dim oTargetFolder As Folder
Dim strFolderName As String
Dim oCopiedItem As MailItem
strFolderName = "Copies"
Set oTargetFolder = Session.GetDefaultFolder(olFolderInbox).folders(strFolderName)
Set oCopiedItem = olItem.Copy
oCopiedItem.Move oTargetFolder
lbl_Exit:
Exit Sub
End Sub
where 'Copies' is the sub folder of Inbox that you wish to copy it to.