A very useful tool for SPSS is the search application box on the toolbar. If you type in mann-whitney or just mann, it will show you where to find it and actually take you to that dialog box.
Cohen's d is not a test - it is a measure of effect size. Again, type in effect in the search box and you will see a dropdown of places you can find it. (Hint, it's available with t test, among other places)