Hi chadsolo,
please read the section "File Management" in your CVP-805 Owners's Manual (starting from page 32). On page 34 you will find the needed information for "Copying or Moving Files".
This functions work in the same way in all the different File Selection displays. (In your case you need to be in the Style Selection display.) You can either copy one file at a time, or several at a time.
Alternatively you can also work with the "Save" function. With this you can save the currently loaded Style to a different location (e.g. onto a USB stick).
Best regards,
Chris