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a) Pinning things directly to the taskbar will always open them in File Explorer, because of the way Microsoft have written the taskbar.
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b) Turn off Preferences / Miscellaneous / Windows Integration / Add 'Open in Directory Opus' item to folder context menus.
If the option is ghosted, it's because Explorer Replacement is turned on, which depends on the item being there.
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c) Themes are loaded via Settings > Lister Themes, which is described in detail in the manual.
As an aside: