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.
A less known but very useful feature that works since Windows XP has been released. You can easily rename a bunch of files in a matter of seconds, let me show you how.
