As somebody has already said on this thread, copyright is automatic (under current <a href="http://straylight.law.cornell.edu/uscode/17/">US law</a> and the law of any signatory to the <a href="http://www.wipo.int/treaties/en/ip/berne/index.html">Berne Convention</a>). Almost anything written down or otherwise recorded ("fixed") is protected by copyright laws whether it bears a copyright notice or not.
Some of the exceptions (in the US): laws and other government works, bare facts (as distinct from the words chosen to express them), very short phrases, certain designs of useful articles, and works for which the copyright has expired -- these can be freely copied no matter what notice someone puts on them.
Also, in the US a work must be registered with the <a href="http://www.copyright.gov/">copyright office</a> for certain infringement remedies to be available: 17 usc 412.
The Copyright Office has a helpful <a href="http://www.copyright.gov/help/faq/">FAQ</a>.
Say, this would be a good thing to add to the SP FAQ. I'll duplicate this post on that thread.