What command(s) are you using? And what are you trying to do? If you want to copy the entire drawing into another new drawing, you can use SAVE [that is, the SAVE command, not QSAVE that you get from so-called "Save" icons and menu items], which will make a new drawing separate from the current one, but leave you in the current drawing, or SAVEAS, which will likewise make a new drawing but take you into it, neither of which require object selection. If you want to Copy to the clipboard so you can Paste into another drawing, you can use Ctrl+C or COPYCLIP or COPYBASE, and just type ALL to select everything.
I assume you mean [by "set first"] that you have the PICKFIRST System Variable set to 0. That only means you can't select things before you call up the command you want to use the selection for. But you can still call up a command and then select things. Or do you mean you have PICKADD set to 0? That could be a problem for selecting everything in a drawing, unless you select it all in one Window, or with the ALL option, or hold the Shift key down while you pick additional things.
The default settings for PICKFIRST and PICKADD are both 1. Is there some reason that you have whichever one you mean set to 0?
Kent Cooper, AIA