|.BAK files are often just backup files. The only dos command I remember that automatically creates them is the old dos command edlin, an editing program. When you modified a file with edlin it would rename the old file with a .bak extension. Otherwise you would just manually rename or copy a file as filename.bak.|
If you want to make a copy of a directory with the copy command the destination directory must already exist. So when you used COPY C:\ALPHA C:\TEST.BAK, if test.bak was a directory on C: then the files in alpha would be copied into test.bak. If test.bak doesn't exist the copy command assumes you want to merge the files in ALPHA into a single file named TEST.BAK.
Also the copy command won't copy hidden files or the contents of any nested sub-directories.