It's old AF!
Welcome back to Earth.
1. Hit F10. This is still true if you have iGame or sth running as game selector (I think). Not all games obey this, if they have been updated this could have been one of the fixed things, see whdload.de status page.
2. Write the good ones down, then delete the others manually? Or move good ones into named folder e.g. Shooter, Platformer, etc.
3. Games: I think it is. Whether you want them all in one folder is up to how you select games to run. If you can navigate folders, you can put them in subfolders.
4. It's the OS, like the Desktop in Windows. Here you do everything you do when you don't play games.
If you have something called Utilities or Tools on Right-click or in the top menu, you might have DirOpus there, so you can delete or move files easily.