You need to unlock the taskbar by right clicking on an empty part of it and de-selecting the 'Lock the Taskbar' option. It will then behave pretty much as it did in Win2K.

The setting that controls the combination of multiple instances of the same application is in the taskbar properties and can be reached by right-clicking the start button and selecting properties.

There is a new thumbnail view in Explorer that might be the answer to your 2nd problem.