Okay, so in the olden days when people used to walk to work in the snow, uphill (both ways), copyright used to be filed on paper, and it's still possible to do so; however, it's pretty easy to file online now.  In order to file a copyright online, simply go to the U.S. Copyright Office (a.k.a. the Library of Congress) and work through the following form: http://www.copyright.gov/eco/

The Free Legal Aid copyright forms are good for educating yourself about the different types of copyright that you can file, and they have all been supplied here in one post.