You acn't copy files to proc! It doesn't actually exist in a physical sense like your cf card - all the fiels in proc are virtual and controlled by the kernel - you can only edit them (an only some of them) not delete or add to them.
To add stuff to root, you will probably need to be root.
Also make sure the case of the file you are trying to copy is 100% correct as well as the name - any extra spaces or such will cause problems also some characters - (/\[{]}#",?) for example - will need to be escaped before you can use them in a file name
for example if you wanted to copy a file called "Hey Jude.mp3" then you would have to use the following command
cp Hey\ Jude.mp3 /home/zaurus/mp3/
To help you with learning what needs to escaped try the wonderful bash auto-completion
When typing hit [tab] key and bash will try to finish the line for you. If there are more than 1 possible solution nothing happens, hit [tab] again and it will list the possibilities for you, type a few more characters then hit tab again. This save a heap of typing and is one of the things I miss when I have to use the other OS.
Stu