This can only be done by using xp_cmdshell. For privileges, this stored procedure can only be executed by someone with system administration rights.

P.S.

I recently read Joe Celko's SQL book and he has the following story:

Forum Question: What kind of rock is best for hammering in screws?

Answer: Granite

This is the same type of question and the appropriate answer is you do not copy file from SQL Server, you use an application.