special copy

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http://www.linuxforums.org – A large file is being downloaded in my harddisk. I want to copy it in my pen drive. Can i do that simultaneously without waiting for the download to complete? Similarly I want to copy a file from /tmp to my home(which is in another drive). I cant wait for it to complete as it might get deleted. ok. There are some ways to save my file. but is there any direct way to do this? some tool kindof? (HowTos)