As for the cookies, as far as I know they've ALWAYS been in the cookies folder, I've never seen them set up anywhere else in XP. I don't know if there's a way to change the location of them, but you CAN change the way they are viewed
You said in the Cookies folder it doesn't give all the details you want about the files. What you have to do first is (in the Cookies folder) click on View->Details. Then, in the detail view, right click on any of the column headers (Name, Type, Size, etc.). Now you can choose which information you want displayed (expiration, site, etc.) Any columns you check will show up in that folder from now on.
For the opening folders in new windows, that's an odd one. I would keep searching. If all else fails, you may need to re-install windows.