Use os.path.join() to get the directory:
dirs = '\\users\\username\\AppData\\Roaming\\Mozilla\\Firefox\\Profiles\\'
cop_dir = '\\users\\Desktop\\'
for r,d,f in os.walk(dirs):
if 'places.sqlite' in f:
shutil.copy2(os.path.join(r, 'places.sqlite'), cop_dir)
break