Zip files are compressed archives containing documents, images, folders, basically any type of files on your computer. We create them to save space and make them more practical for sending via email or file sharing services.
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.
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.