How is the Tesseract still in Odin's trophy room during Thor?

During Thor we see Thor talking (as a child) about how he wants to wage war on the Frost giants, like his father (Odin). So we know that the Tesseract must have been lost already.

Actually, what this shows us is that this is happening over a thousand years in the past.

• When Dr. Selvig is in the library, we see a book of Norse mythology. It has a picture of a full-grown Thor.
• Due to the mixture of real-world mythology, and the Marvel universe, the Asgardians were active on Earth about a thousand years ago, to jibe with our real-world history. It was during this time they lost the Tesseract on Earth during the war with the Frost Giants.
• This means that ~1000 years ago, Thor looked like a teenager or young human, at least. This is because ~1000 years ago the Norse peoples interacted with Thor, and passed around stories of him as a full-height person, not a short child. This then trickled down through time as Norse mythology

So in the scene with child Thor and child Loki, it's entirely possible that the Tesseract would be in the trophy room, since it hadn't yet been lost on Earth. However:

BUT, during Thor's coronation ceremony, we see some frost giants trying to steal the Tesseract from Odin's throne room (or wherever that was), even though we know that it was lost.

No, during this scene they attempt to steal the Casket of Ancient Winters. It's the device that allows the wielder to make blasts of severe cold. This is the device that later on Loki takes and uses to freeze several things, including Heimdall and the Rainbow Bridge device.

The Tesseract is a device that emits vast amounts of energy, and can be used to travel between the realms. This device was central to the plot of Avengers, and Captain America. It was not seen in Thor, except during the post-credits scene.

Reading up on this Marvel Universe article about Cosmic Cubes tells us that there is possibly more than one cube in the universe itself.

If we are to believe that the Cinematic Universe (Earth-199999 as it is known in the Marvel Multi-verse) has similar canon then we can assume the same to be true that there is more than one Tesseract a.k.a. Cosmic Cube a.k.a. ooo shiny.

Also, things that I have been looking up state that the Cubes in this universe were actually Asgardian artefacts created by Odin himself. Therefore we can assume the one found on Earth was just a remnant of the time when Odin was on Earth, creating the illusion of Norse mythology to the people and uses these cubes (several? a few? who knows) to power Asgard itself and the Bifrost.

I hope to add more info when I go home and get some screen-grabs of Thor as well as hope to add more when Thor 2 comes out.

Further, memories are serving me at the moment that the artefact that the Frost Giants were stealing during the coronation was not actually a Tesseract/Cosmic Cube but actually an artefact of the Frost Giant's creation that maybe powered their world or contained something relating to their own people that Odin obtained to signify the end of the Asgard/Frost Giant war.

Looking on, it seems the item confiscated from the Jotuns was actually the Cask of Ancient Winters which gave the Jotuns power.

Another artefact spotted in that scene is the Orb of Agamotto used by another Marvel character in the Comic's canon.