Somewhere in Photoshop there should be a setting that allows you to see the layers of the image. You are probably doing a lasso in a layer that doesn't have anything to cut out. Once you find the layers, click on the base layer "background" and then use the lasso. It should cut/copy from there instead of an empty layer.
My version of PS is much older, so I can't really give you step-by-step. But once you figure out how to manipulate the image in layers things will work out better.
