ClipMate's primary purpose is for copying clips of data copied from within applications, such as word processors, Email, graphics programs, web browsers, etc.. Unfortunately, Windows (ab)uses the cut/copy/paste metaphor for file management as well, which doesn't fit well with the notion of an "unlimited clipboard". You see, when you copy a file in Windows Explorer, the file itself is not copied. Only pointers to the file, such as the pathname, some shell information, etc.. When you paste the file again into Windows Explorer, it uses the copied pointers to locate the original file, and move or copy it to the new location.
It is therefore dangerous to assume that ClipMate has copied your data! It hasn't. If you copy a file, delete the file, and then try to paste it later, you're out of luck. Likewise, if you copy a file, then modify the contents (such as delete half of the lines with your word processor) and then try to "go back" by pasting from ClipMate, you are also out of luck. For these reasons, ClipMate does not enable file capture by default. But if you really want to, you can. Go into ClipMate's Application Profile, select the app called "Explorer", and enable HDROP and FileName. Now you can copy and paste files. But remember, the original files need to still be in the original locations, for this to work. If you get a message saying "can't read original source file from disk", then you've messed up.
That being said, it is useful to have the HDROP format enabled, as ClipMate can "peek inside" and get a list of files. It then creates a TEXT version of the file list. So you can easily get a directory listing in a TEXT format. This will happen whenever you have the HDROP format present, IF you enable "Automatically expand HDROP to Text" in Config | User Preferences | Edit Rules. - try it!