The workbook you are copying from is either an xlsx or xlsm file, and the workbook that you're trying to copy to is an xls file. The issue you're having is that, while the xlsx and xlsm files have over 1 million rows, the row limit in the old xls format was 65,536 rows.
To solve this you need to either copy the data, as suggested by the message you got, or you need to save the workbooks so that they are either both xlsx/xlsm files OR xls files. Once you do that, then'll you'll be able to freely copy them.
My suggestion would be to upgrade the target to the new file format, as that has the least risk of causing any issues... providing that everyone else who needs that workbook can open the newer file formats.
Hope that helps,