Peter, try this. Go to the Library module and select the picture you want to export. Go over to the right hand panel, scroll down and display the Metadata. The little arrow box beside it should say 'all'. Scroll through the metadata all the way to the copyright info at the bottom. Check to see that the 'copyright status' says copyrighted and the 'copyright' field contains the text that you want, eg. © Peter Schultz, 2009. If that data is not there, then your import preset did not set it up properly.
You can go back to the top of that Metadata panel and you will see a 'presets' pull-down where you can edit or define import presets. Then you have to select your preset during the import process to have the data applied. Whatever reference book you are using should cover how to set it all up. It's kind of a preliminary thing you should do before importing your first pictures. Once it's set up you won't need to change it very often.
I hope that helps. Let me know how it turns out for you.