It depends on how your W-2 comes. Years ago they were carbon paper forms, copy A (the top copy) was sent to the IRS by the employer, copy B was the next layer that you sent to the IRS, and so on. These days your W-2 is likely to be a pdf file or something mailed to you that has 4 copies on a single folded up piece of paper that you tear or cut on a dotted line to separate. At the bottom of each copy there is a statement that says "COPY B--To be filed with employee's federal tax return" or "COPY C" or whatever.
Likely, since all copies are the same, it doesn't matter. But they are labeled if you look for it.