Zip files are compressed archives containing documents, images, folders, basically any type of files on your computer. We create them to save space and make them more practical for sending via email or file sharing services.
In this day of age, it's very practical to have a Windows 7 installation on your USB key, for many netbooks and devices don't come with CD/DVD drives anymore.
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.