"I copy this file into an other folder" and "I copy this file into another folder" are both really the same sentence. The convention is that when "an" appears next to "other", they're written as one word.

"I copy this file into another folder" is correct. It is not correct to say "an another". "An other folder" is not quite right either - it probably means the same as "another folder" but "an other" has simply evolved into "another" over time because they run together. So, definite article + other = "the other" but indefinite article + other = "another".