What version of visual studio are you using? The above syntax only works with Vs 2003 - try the following change and see if that helps
Dim files() As String
files = System.IO.Directory.GetFiles("C:\windows", "*.bmp")
Dim file as string
For Each file In files
System.IO.File.Copy(file, "c:\destination\" & System.IO.Path.GetFileName(file))
Next