The COPR (Certificate Of Permanant Residency) is the visa/paper that is stapled to your passport when it is returned by the Embassy or Immigration Office in order for you to gain entry to Canada as a permanant resident.
If you are "landing" within Canada at a local immigration office, (as opposed to flying in to an airport) you take your passport with you and they will staple the COPR to your passport at the landing interview (not before).
The COPR is an important document that you will need for pension purposes etc later on... so don't lose it!
The PR card is included with your fee's and will be sent to you approximately 7 weeks after you "land" provided you have an address they can send it to in Canada. If you don't, you can defer collecting the PR card for up to 6 months.
For your Social Insurance Number (SIN) card, you will go to a Services Canada centre where you will fill in a form (or you can get it online from here:
http://www.servicecanada.gc.ca/eng/sin/forms.shtml ) and take along proof of your PR status (your COPR will do) and your passport. They will issue you with your SI Number and send you the official card approximately 4 weeks later.
