fail in CopyFile if the FileFds have error flag set

Testing for global PendingErrors in users of CopyFile is incorrect
in so far as unrelated errors will prevent us from copying perfectly
fine files and checking for the validity of the files is just better
in CopyFiles as it already checks if files are at least opened.

Add also a higher-level error message to the error stack if it fails.
ensure state-dir exists before coyping cdrom files

We do the same in the acquire system which handles the 'normal'
downloads, so do it here as well even though its unlikely anyone
will ever notice (beside testcases of course …)
tests: add an interactive 'test' with multiple cdroms

Can't be used as a test as is, but shows how to build multiple
CD-ROMs for tests and can be used to reproduce debbug #711456.

Git-Dch: Ignore