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.
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.
Collection of fonts on our computer is quite big, but sometimes we want to use some special font. We can find it on web and install it on computer for personal use.
If the DVDs, USB sticks, phones, cameras or any other media and devices are automatically starting to play or open explorer windows and your don't want them to, this is how you tweak the AutoPlay settings.
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.
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.