Among Islamic scholars, a distinction is made between one who is only a prophet (nabi in Arabic), and one who is also a messenger ((rasool). A prophet is given a mission by God to warn or lead a people. A messenger is given scripture. The analogy I have always seen used is that of the difference between telling a person to go speak to a group of people and one who is actually given a letter to read to them. Messengers bring new laws and admonitions, prophets remind people of those which exist (messengers also do this, as all messengers are prophets, but not all prophets are messengers).

The status of Muhammad (pbuh) is stated in the Qur'an (33:40):

Muhammad is not the father of any man among you. He is the Messenger of God, and the Seal of the Prophets.
Messenger of God (Rasool ul lah) and Seal of the Prophets (Khataman Nabiyeen) are both honorific titles for The Prophet. Khataman nabiyeen has always been interpreted by traditional scholars as indicating that Muhammad is the last in the line of prophets, and no new prophets are to come after him. Jesus (SAW) was a prophet prior to Muhammad, so his second coming is not considered to be a contradiction of this ayah. Muslims believe in the second coming, but not the same things about it that Christians do, since Jesus is a man and not God according to Islamic teachings. The Prophet, in his Last Sermon explicitly stated the finality of his prophethood.

Also, every messenger brought a miracle (or more than one). The Qur'an testifies to Allah raising the dead and healing the sick through prophet Jesus (pbuh), for example. The Prophet's miracle was the Qur'an itself. It is the "standing miracle", which exists to our time.