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.
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.
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.
By default the command line outputs are displayed onto a screen, but you can easily redirect into a text file or even make it to be used as an input for the following command.