Windows Explorer does not have menu displayed by default like you were used to in previous versions. To activate and keep it permanently visible follow this tutorial.
Windows 7 have a nifty feature which combines the windows of opened applications under the same taskbar button. If you don't like it you can always turn it off.
If you can't copy files that are bigger than 2 or 4 GB, usually HD movies and such, on to your USB key, it's usually due to the file system the USB key is formatted to.
Some installations or settings changes require you to restart your computer. In most cases you don't need to actually reboot it, you only need to restart the explorer.exe process.
