I'll try to answer these as best I can.
1. Why is Thanos only interested in the Orb?
As far as we can tell, this is the only Infinity Stone that Thanos is truly aware of. Even the Guardians of the Galaxy don't become aware of what's in the orb until The Collector opens it and reveals it to them. Thanos is using Ronan and his adopted daughters to retrieve the orb for him, with the promise of using it to destroy Xandar for Ronan, but Ronan takes the Orb for himself and threatens to kill Thanos with it after he uses it to destroy Xandar and the Nova Corps. Given his singular focus on the Orb itself, we can only assume he's aware of the location (however firm or loose that location may be) of this particular Infinity Stone, and is simply after that one for the time being.
2. Doesn't Thanos know The Collector has the Aether?
Probably not. Remember that at the end of Thor: The Dark World, Volstagg and Sif deliver it to The Collector. They entrust it to him likely with the intent of only him and various royal members of Asgard knowing he has it; it's even possible to assume that Thor and Loki still think it's safely within Asgard. Remember: the Aether was hidden for eons before Jane happened upon it, so it had been well hidden for a very long time before they handed it to The Collector. Unless Thanos became aware of its influence in Asgard's struggle against a newly risen Malekith, we can only assume that he doesn't actually know it's been brought back into the galaxy. Which leads us to item 3...
3. Where are the other four Infinity Stones?
Ah, you seem to have forgotten a key bit of info in mentioning the Asgardians delivering the Aether to The Collector at the end of "Thor: The Dark World": they note that since the the Tesseract is also in Asgard, keeping two Infinity Stones so close together is dangerous. As such we know the location of three Infinity stones as of the end of "Guardians of the Galaxy". The Aether is with The Collector (I doubt it was destroyed with the rest of his collection), the Tesseract is in Asgard, and the Orb is now safely locked up on Xandar with the Nova Corps.
4. Will the remaining stones pop up in future movies?
I'd say they certainly will, as Marvel has had a prop for the Infinity Gauntlet for some time now, but until those movies and their story lines are released, anything said would merely be conjecture.
UPDATE FOR #3 AND #4 (SPOILERS AHEAD):
As we now know, the Mind Stone was revealed to be in Loki's scepter and used to create Ultron and ultimately Vision. Considering Thanos gives this scepter to Loki, this indicates he actually gave up possession of an Infinity Stone to someone else in his efforts to uncover the others and achieve his primary goal. When it was briefly in the hands of Hydra it was used to create Quicksilver and Scarlet Witch, the latter being capable of actually destroying stones with her powers.
The Soul Stone ended up being discovered by Gamora who destroyed the details of its location and tried to keep them a secret from Thanos, even going as far as asking Star-Lord to kill her if Thanos manages to capture her. The stone is located on Vormir, guarded by Red Skull, who informs Thanos he must sacrifice someone he loves to obtain it. Thanos reluctantly throws Gamora to her death and obtains the stone.
