One of my friend and colleague asked me this question. I found it tricky and a good post for my blog. Here is what you have to do:

Go to your 12 hive\TEMPLATE\LAYOUTS\1033 folder. Open up the Core.js file. Find the function AddSendSubMenu. Go to the last 3 lines:

strAction = "STSNavigate('" + ctx.HttpRoot + "/_layouts/download.aspx?" + "SourceUrl=" + currentItemEscapedFileUrl + "&Source=" + GetSource() + "&FldUrl=" + escapeProperly(ctx.SendToLocationUrl) + "')"; ;

 menuOption = CAMOpt(sm, L_DownloadACopy_Text, strAction, "");

 menuOption.id = "ID_DownloadACopy";

.csharpcode, .csharpcode pre
{
font-size: small;
color: black;
font-family: consolas, "Courier New", courier, monospace;
background-color: #ffffff;
/*white-space: pre;*/
}
.csharpcode pre { margin: 0em; }
.csharpcode .rem { color: #008000; }
.csharpcode .kwrd { color: #0000ff; }
.csharpcode .str { color: #006080; }
.csharpcode .op { color: #0000c0; }
.csharpcode .preproc { color: #cc6633; }
.csharpcode .asp { background-color: #ffff00; }
.csharpcode .html { color: #800000; }
.csharpcode .attr { color: #ff0000; }
.csharpcode .alt
{
background-color: #f4f4f4;
width: 100%;
margin: 0em;
}
.csharpcode .lnum { color: #606060; }

Now if you want to remove "Download a Copy" option from all the document libraries then comment all three lines.

If you want to remove it for some custom List Definition that you have created you may do like:

if(ctx.listTemplate !=10001)

{

strAction = "STSNavigate('" + ctx.HttpRoot + "/_layouts/download.aspx?" + "SourceUrl=" + currentItemEscapedFileUrl + "&Source=" + GetSource() + "&FldUrl=" + escapeProperly(ctx.SendToLocationUrl) + "')"; ;

 menuOption = CAMOpt(sm, L_DownloadACopy_Text, strAction, "");

 menuOption.id = "ID_DownloadACopy";

}

.csharpcode, .csharpcode pre
{
font-size: small;
color: black;
font-family: consolas, "Courier New", courier, monospace;
background-color: #ffffff;
/*white-space: pre;*/
}
.csharpcode pre { margin: 0em; }
.csharpcode .rem { color: #008000; }
.csharpcode .kwrd { color: #0000ff; }
.csharpcode .str { color: #006080; }
.csharpcode .op { color: #0000c0; }
.csharpcode .preproc { color: #cc6633; }
.csharpcode .asp { background-color: #ffff00; }
.csharpcode .html { color: #800000; }
.csharpcode .attr { color: #ff0000; }
.csharpcode .alt
{
background-color: #f4f4f4;
width: 100%;
margin: 0em;
}
.csharpcode .lnum { color: #606060; }

Where 10001 was your custom list template id.

If you want to do it for a specific Document Library then you would do like this:

if(ctx.listName !="{28958B49-8C76-4987-815C-CF5A107FF522}")

{

strAction = "STSNavigate('" + ctx.HttpRoot + "/_layouts/download.aspx?" + "SourceUrl=" + currentItemEscapedFileUrl + "&Source=" + GetSource() + "&FldUrl=" + escapeProperly(ctx.SendToLocationUrl) + "')"; ;

 menuOption = CAMOpt(sm, L_DownloadACopy_Text, strAction, "");

 menuOption.id = "ID_DownloadACopy";

}

.csharpcode, .csharpcode pre
{
font-size: small;
color: black;
font-family: consolas, "Courier New", courier, monospace;
background-color: #ffffff;
/*white-space: pre;*/
}
.csharpcode pre { margin: 0em; }
.csharpcode .rem { color: #008000; }
.csharpcode .kwrd { color: #0000ff; }
.csharpcode .str { color: #006080; }
.csharpcode .op { color: #0000c0; }
.csharpcode .preproc { color: #cc6633; }
.csharpcode .asp { background-color: #ffff00; }
.csharpcode .html { color: #800000; }
.csharpcode .attr { color: #ff0000; }
.csharpcode .alt
{
background-color: #f4f4f4;
width: 100%;
margin: 0em;
}
.csharpcode .lnum { color: #606060; }

As you can see you have to pass the list GUID as listName.