Is it possible to create a file that cannot be copied?

Nice try, RIAA.

But seriously, no you can not. It is always possible to copy, you can just make it it more difficult for people to make sense of the file or try to hide it using like encryption. Spotify does it.

If you really try hard thou, you cold make a root-kit for windows and use it to prevent windows from even knowing about the file and also prevent copies. The file will still be there and copy-able by other tools, or Linux accessing the ntfs.

Well technically you could create and write to a write-only network share.