Sorry but that is not normal. I would look at your setup over the OS for that one.
I can open multiple files. I can do it multiple ways. Ctrl + select a file, drag and select multiple files with my mouse and using the Shift Key to select them. Then either hitting enter to open them, or right clicking and selecting Open from the Context menu. All which could be done in XP and is still done the same in Vista/Win7.
You can use Keyboard shortcuts. But now it take just 1 extra button press. You right click on an item, hit C to select Close and then Enter to close the item. 1 extra button press, no 3rd party scripts needed. You basically have a 3rd party app that will hit Enter for you. Considering that it is about 1 centimeter from the item to the Close Window option when you right click, why is it necessary to use Keyboard Shortcuts when it would be just as efficient to move the mouse that small area and click Close Window. You could just
disable them completely and go right back to the old way as well.
Win7 is superior in every way to XP. Usability, Security, Coding, Networking, and everything else. XP is a decade old and everything has changed in that time on how operations can be done. With just a few minor adjustments to how you do things, you could easily find Win7 to be better than XP.