Yes, you can. And the moment you fix your story in a permanent medium, copyright protect springs into existence. You can also register your copyright with the U.S. Copyright Office in the Library of Congress but it is not required by statute to protect your work. I would encourage you to include the copyright sign (c in a circle), your name, and the date you wrote the story on every copy you send out.
Answered on May 15th, 2015 at 1:28 AM