QuickEdit Mode enables you to use the mouse to copy and paste within the [command] window. Assuming this mode is enabled, you can copy something to the Clipboard by highlighting the text with the mouse and then pressing ENTER; to paste text from the Clipboard, position the cursor and then click the right-mouse button.
This is an old, old feature. It was on by default in Win2K, but in WinXP they have it off by default because as the Win9x folks came over they were still running hoary old DOS programs relying on the mouse.

Because so many funky old DOS programs expect to receive CTRL-<key> as well it was never practical to have CMD.EXE work with Windows shortcut keys. Things still get ugly enough as it is:

You Cannot Off Turn off Windows Keyboard Shortcuts for MS-DOS-Based Programs