You need Nikon Capture (Camera Control) to enter this directly into the camera. This is from the Nikon Capture help file:
Edit Image Comment… Selecting the Camera > Edit Image Comment option displays the Edit Image Comment dialog box, where you can enter a comment or title for subsequent photographs. If the camera currently connected is in the D100, D2H or D70, enter a title of thirty-eight characters or less and click OK. The title will be used for all subsequent photographs taken while the camera is connected. When a D100, D2H or D70 camera is connected, the title is stored in the camera as an image comment of thirty-six characters or less which is appended to photographs only when the Attach comment to images box is checked.
I would guess that using Nikon Capture would allow me to enter that character into the D2H. (Perhaps someone with Nikon Capture and a D2H could verify this?) However Nikon didn't give us the ability to enter it directly through the D2H menu.
There is a website that has the copyright symbols and how to set them up on a mac or pc. Unfortunately I am at work and that link is at home on my mac. I got the link from Nikonians a couple of months ago from a similar thread. I will send the link this evening when I get back home.