Sub copy_()
Dim arr, i As Long, fileName As String, address_ As String
With ActiveSheet
    If get_filename(Selection.Address, "^\$B\$[0-9]+\:\$C\$[0-9]+$") = "" Then MsgBox "адрес диапазона не в пределах столбцов В и С!!!!": Exit Sub
    arr = Selection
    For i = LBound(arr, 1) To UBound(arr, 1)
        fileName = get_filename(arr(i, 2), "[^\\]+$")
        FileCopy arr(i, 2), arr(i, 1) & "\" & fileName
    Next i
End With
End Sub
Private Function get_filename(what, pattern) As String
With CreateObject("Vbscript.Regexp")
    .Global = False: .MultiLine = False: .Ignorecase = True: .pattern = pattern
    If .test(what) Then get_filename = .Execute(what)(0): Exit Function
End With
get_filename = ""
End Function

"^\$C\$[0-9]+\:\$D\$[0-9]+$"