Sometimes this is an application issue, sometimes it's an OS issue.
Are you using a word processor, such as OpenOffice.org's 'writer'? If you only need the functionality when typing office documents, you might try assigning the copyright symbol to the (c) (open-parens, c, close-parens) custom spelling dictionary.
For a system-wide issue, make sure you're using an appropriate Unicode page in your apps.
Does that make sense, or have I missed the intent of your question?