Copy file geodatabase using Python?

As far as a file system is concerned, a file gdb is a directory - trying to copy one as a single file will not work. Try this out:

import shutil, errno

def copyanything(src, dst):
    try:
        shutil.copytree(src, dst)
    except OSError as exc: # python >2.5
        if exc.errno == errno.ENOTDIR:
            shutil.copy(src, dst)
        else: raise

Another option:

http://help.arcgis.com/en/arcgisdesktop/10.0/help/index.html#//001700000051000000

import arcgisscripting

gp = arcgisscripting.create()

gp.Copy_management(r"C:\test.gdb", r"C:\test_COPY.gdb")

Make sure that the person running the python script has permission to create additional folders in the directory the script is run from.

What type of system are you running the script on? Where in the PATH are you trying to run the script from?