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 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.
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.
