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 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.
