From the MS KnowledgeBase (this is funny, I just had this same question today and found this searching MS):

DOCERR: Copying Classes with the Class Browser
5.00 WINDOWS kbtool kbdocerr
The information in this article applies to:

Microsoft Visual FoxPro for Windows, version 5.0


SUMMARY
In steps 3 and 4 of the instructions on how "To copy a class from one class library to another," the "Managing Classes With The Class Browser" Help topic in the Visual FoxPro 5.0 Help file incorrectly states the following:


Step 3 "In the source class library, select the class you want to copy,
and then drag the class icon picture located above the class
list to the class icon picture in the destination library. The
cursor appears with a plus sign when you are over the
destination class icon."

Step 4 "In the dialog box that opens, choose Yes to move the class, No
to copy the class, or Cancel to prevent changes to either
library."

MORE INFORMATION
To copy a class from one class library to another using the Class Browser, hold down the Control key while dragging the class from the source instance of the Class Browser to the other. A dialog box does not appear as indicated in step 4 above. The Status Bar indicates that the class is being copied. If the Control key is not held down, the Status Bar indicates that the class is being moved.

This also applies to the "To copy multiple classes from one class library file to another" Help topic.



REFERENCES
For additional information about the Class Browser in Visual FoxPro 5.0, please see the following article in the Microsoft Knowledge Base:


ARTICLE-ID: Q156173
TITLE : How To Use the New Class Browser in Visual FoxPro 5.0

KBCategory: kbtool kbdocerr KBSubcategory: FxtoolClassbrow Additional reference words: 5.00 kbdsd vfoxwin
Keywords : FxtoolClassbrow
Version : 5.00
Platform : WINDOWS