I have downloaded copy number alterations data from TCGA for Head and Neck cancer. I wanted to use the DNAcopy package and I need to create a CNA object (as described on the reference manual), however my data has both starts and ends which are different for each patient... I do not understand how to go from this to the locations (maploc) of the markers in the genome required to create said object. I have looked into some examples like the coriell data included with the package as well, but I can't seem to figure out how to get these values... Can someone please help me ? 

A segmentation algorithm like CBS in DNAcopy takes normalized copy number data along the genome and identifies breakpoints where the copy number changes. So, if I understood correctly, the TCGA data you downloaded is already segmented and there is no need for DNAcopy. If you want to generate a matrix of copy number of all patients, have a look at the CNTools package.