If you click and hold the mouse at the start of a line and go down to the start of the next line so only the one line is highlighted, you're actually also highlighting the $crlf. If you were in the scripts editor and did something like putting the cursor at the beginning of the line and then hold Shift and click End so that it highlights the line, you'll notice that it has a "space" highlighted at the end of the line. That "space" is the $crlf.
In either situation, you can verify that you're copying that character yourself (not something mIRC's doing on its own) by highlighting the line starting at the END of the line and going to the beginning instead of the normal way of starting at the beginning and going to the end. You'll find that it doesn't copy that extra character that way. Once you verify the cause is how you're highlighting the text, you can just be careful how you highlight... if you use the mouse over the text, make sure you stay on the same line. If you're using Shift-End, make sure to left arrow once while still holding Shift after you hit End.
If these aren't the reason, then you'll need to show the script you're using AND the data that you're trying to copy. Also, explain how you're copying the data. More details are needed to give you a better answer.