How to know if "Create a copy" checkbox is checked in "Move or Copy" dialog of worksheet

No, it's not possible to handle "Move or Copy" dialog.

Please, refer these links:
Using Events with Microsoft Excel Objects [Excel 2003 VBA Language Reference][^]
Application Object Events [Excel 2003 VBA Language Reference][^]
Using Events with the Application Object (Office 2010)[^]

You can only handle new sheet event[^].

Steps to do:
1) Add new class module (change the Name property to: MyApp) and copy and paste below code:

Public WithEvents ExcApp As Application

Private Sub ExcApp_WorkbookNewSheet(ByVal Wb As Workbook, ByVal Sh As Object)
    MsgBox "New sheet added!"
End Sub

2) Add new module and add insert line to it:

Public oApp As MyApp

3) Go to the ThisWorkbook object (browse it in "Project - VBA Project" window on the left of code pane) and add this code:

Private Sub Workbook_BeforeClose(Cancel As Boolean)
Set oApp = Nothing
End Sub

Private Sub Workbook_Open()
Set oApp = New MyApp
Set oApp.ExcApp = Application
End Sub

4) Set cursor position inside the body of Workbook_Open() procedure and push F5 key

5) Try to add new worksheet or use "Move or Copy" dialog with copy option ;)