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First of all, FAT file systems, used in Windows systems very often, probably don't support very strange characters in filenames.
Secondly, "cp" probably misreads the filename simply because it starts with a "-" or something (this makes cp mistake it for an option that always starts with a -).
Some commands support adding the "--" option to tell where the options stop and the filenames start.
However, "cp" may not support this (check it's man page).
If it doesn't support the "--" option, you should try:
-adding a \ (backslash) before the first '-' or even any '-' in the filename
-using single quotes.
-looking at your shell's and cp's man pages.
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