Well, the biggest thing I see is that you don't have a "catch" statement. In general, you want to have one of those, which will print some sort of error message and/or rethrow the exception. In some cases, you may want to use compiler directives so that you only get an error message in debug builds, and make it silent in your official build, but that approach should be used sparingly and with caution, only when necessary.
Otherwise, the missing catch can "hide" problems from you, and make debugging much more difficult.
As for the rest, it would probably be better to move your "if" statement outside the "try" statement. Right now, you print "Files Copied" even if the user hits cancel in the dialog box (i.e., if DialogResult is not OK).
In fact, you may even want the "try" block inside your "foreach", so that if one file fails, it will still try to process all the other files.