Virtual Hard Disk or VHD acts like a normal hard drive built into your computer. Cool thing is, it comes in a form of a single file so you can make a copy of it and virtually attach it to any other Windows computer.
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.
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.
If you put your computer into hibernation, the next time you turn it on, you'll get all your windows and programs open just the way they were before the shutdown.
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.
