When I press "i" it automatically keyframes everything: position, rotation and scale.
I don't want it to do that, I want to control what I animate each time, so how do I configure blender so that I get the old menu that pops up when I hit I and I can choose whether I want to animate location, or rotation or scale?
You have 2 options:
1. Use K as Spikey points out.
2. Set a keying set. Keying set can be changed by clicking keying in the header of the timeline editor then click in the key set field. You can also change key set by pressing shift+k with the mouse cursor in the 3D viewport....it may be Ctrl+k but I'm pretty sure it's shift.