The error occurs because Cells at the Destination aren't qualified.
Incidentally, you don't need to use Select at all. Try this:

Set ws = Workbooks(1).Sheets(2)
ActiveWorkbook.Sheets(2).Range(Cells(ConsultantRow , _
BegDayCol), Cells(ConsultantRow, EndDayCol)).Copy _
Destination:=ws.Cells(ConsultantRow, BegDayCol)

Hth,
Merjet