Copy to clipboard is the same as copy using the keys CTRL + C on your keyboard or using your mouse to copy.  With the mouse you highlight the new link, right click on the mouse and click on 'Copy'.

So, you click that button and then open e.g. Microsoft Notepad (or any other application you like), then 'right click' and click on "Paste" and your link will be there. Now you can copy and paste it to where you want.