If the ArtTunnel.jpg is not a hidden file the "." is unnecessary. If the file is in the current directory (you can list all files in the directory with the "ls" command). The "prompt" before your command sometimes lists your current directory, and you can also list it with the "pwd" command.
cp ArtTuneel.jpg ../steph/ copies the file to the directory steph if steph is one level up from your current directory. If steph is not located one level above your current directory, you'll have to use a different "path" to locate it.
Unix\Linux (hereafter *NIX) users should have a "home" directory with all their files, and it can be represented in your commands as "~". So
cp ArtTunnel.jpg ~/Documents/ for example would copy ArtTunell.jpg to the Documents directory of the current user.
Using ~ and .. gives you "relative paths." The entire *NIX directory structure starts at the "root" directory, represented by a lone slash: /
Paths that start with the slash are "absolute" paths. For the user "moi" the absolute path of the home directory is normally located at /home/moi.
*NIX is designed with multiple users in mind, and so file permissions play a big role in where you can copy files, what files you can view, and whether you can execute programs. Everything is caught in a matrix of "read-write-execute" permissions. You normally can copy freely in your home directory. Watch out for the permissions issues though.
There's some "online" documentation and manuals accessible from the terminal by typing
man command-name, in your case
man cp. The *NIX manuals are pretty terse however. Sometimes the GNU Project's "info" documentation is more informative. It can be accessed by typing
info command-name, in your case
This tutorial describes the "cp" command gently, but gives some good details: https://www.cyberciti.biz/faq/copy-command/. This is a more general *NIX command tutorial: http://www.linfo.org/command_line_lesson_1.html. There are also good video tutorials out there. If you're unfamiliar with Emacs, it has a built-in tutorial you can run by pressing Ctrl+h, followed by "t".