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When the Roto-Copter falls, air pushes up against the blades, bending them up just a little. When air pushes upward on the slanted blade, some of that thrust becomes a sideways, or horizontal, push.

Why doesn't the copter simply move sideways through the air? That's because there are two blades, each getting the same push, but in opposite directions. The two opposing thrusts work together to cause the toy to spin.