I got a letter from the OK tax commission asking me to make copies of my letter itself And my w2 but to send the originals to finish my processing. What does that mean?

It means to copy the letter that they sent you and send the original letter back to the IRS WITH the copy of W-2 that says "For Federal Filing".  You keep the copy of the letter that you received and copied and all other parts of the W-2.  If you only have one original copy of your W-2, copy it.  You keep the copy and send the original along with the letter.