No, if it is the user running the command, then there should be no sudo, as in:
cp /usr/local/afni/bin/AFNI.afnirc ~/.afnirc
By the bootcamp files, do you mean the AFNI binaries? In that case, they should add /usr/local/afni/bin to their PATH variables. That is basically all they need to do. So depending on their login shell, that would be done in their .cshrc, .bash_profile or .bashrc file.
For example, in bash, they might include:
export PATH=${PATH}:/usr/local/afni/bin
- rick