If you sign a contract with a company as an independant contractor and they don't want to give you a copy of the contract, is the contract void?

No, the law does void a contract for failure to be provided a copy (unless there was some agreement, in that contract or otherwise, that you get a copy). The terms of the contract are enforceable whether or not each party has its own copy, and one party to a contract is not obligated legally to provide a copy to the other. In the event of dispute over the contract's interpretation, validity, performance, etc., if litigation ensues, there are legal mechanisms (e.g. a document production request; interrogatories) to get a copy of the contract.