Not sure I understand the problem you're having, are you saying you can't get the copy function to work for some reason or you can't find where to copy the NVSE files? The files all go in the
steam\steamapps\common\fallout new vegas directory not the Data directory like a normal mod. If you see files like
FalloutNV.exe and
FalloutNVLauncher.exe in the Windows explorer directory listing you are currently viewing you're in the right place. There are 4 files from the NVSE zip file you downloaded that are required be placed in this directory:
nvse_steam_loader.dll
nvse_loader.exe
nvse_editor_1_3.dll (optional really, only required for editing NVSE aware mods in the GECK)
nvse_1_1.dllJust copy those 4 files into the directory so they appear alongside the other files mentioned above. Launch the game with the
nvse_loader.exe file and you should be all set.