Here is a video that takes you through the process of setting up a Data Loss Prevention Policy (DLP) that protects content when used in Microsoft 365 Copilot.
To achieve this you need to set up Data Labelling in your Microsoft 365 environment which is not covered in this video. Documentation from Microsoft on DLP with Microsoft 365 Copilot can be found here:
Learn about the Microsoft 365 Copilot policy location (preview)
CIAOPS 