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 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.
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.
