This has never been possible with Windows. At least not plain vanilla Windows. There might be specific programs that can do it, but Windows itself has never had this ability. Certainly would be nice, I agree, and maybe some day Microsoft will actually "get" some of the markets they so covet. They got lucky with Windows and Office. Pretty much every other product they've made has been a huge disaster. Even Internet Explorer failed to make any real headway until they started tying it to Windows.
Microsoft doesn't really "get" what people want. They just think that throwing all kinds of features at people, and copying other successful products in the market will be enough. Can't imagine why it never seems to work out for them.
Maybe once Ballmer is gone from the company, and some of the rest of the old guard, Microsoft will become a company that "gets" what customers actually want, and will be willing to make the hard choices Gates, Ballmer, and the rest, have so far failed to make. Apple's recent resurgence has been more a result of their willingness to make some of those hard choices. They scrapped their entire operating system back around 2000 and came up with Mac OS X. It was a very rough transition early on, but it has paid off brilliantly. Microsoft, during most of this time, decided to keep plodding along with the same system they've been developing since the late 80s, and we wound up with Vista. Which is pretty impressive for what the developers had to work with. Even 7 is a far cry from what Mac OS X is.
The mobile phone market has been even worse. Almost universally, everyone creates their own UI on top of Windows Mobile, and it's widely known to be buggy, unweidy, and unstable, requiring near daily reboots of one's phone. The new Windows Phone 7 holds some promise, being a complete from scratch development, not even having any binary compatibility. However, their phone market share is so small it's really not much of a risk they're taking.
So, to bring this rant to an end, what you're looking for doesn't exist... From anyone. Not Apple, not Microsoft, not anyone else who makes an OS. Apple is a lot closer, but still a far cry from what you describe. I'm not sure if you're just mixing up wishful thinking with memories of programs past, but I have NEVER seen anything like what you describe, and believe me I have looked. I looked long, and I looked hard before I finally broke down and just bought a dedicated HTPC.
I would like to create multiple PC configurations. This kind of thing used to be supported but I cannot seem to do it in Windows 7.
Configuration examples might be: Home-wired, Home-WiFi, Office, Coffee-shop. Specifically, I'd like a configuration for watching movies with my PC connected to my TV using my HDMI output. I would like it to turn off my PC screen and use the TV instead, switch the sound device to HDMI output and turn off all power saving. And I'd like it all to happen automatically when I plug in my HDMI cable. Obviously, all this should be reversed when the HDMI cable is unplugged.
Any thoughts? Am I missing something?

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