You can zip files up individually or whole folders.
The following instructions are for
Windows XP.
Open up Windows Explorer and find the folder you want to zip up. Make sure all
the files are there. (You can, however, add files after the zip has been
created.) Make sure you are viewing your folder in the right-hand pane of
Windows Explorer and right-click it. A pop-up menu will appear on which you
should select "Send To" | "Compressed (zipped) Folder".
Wait a second and a new file will appear. This is your zip file, and its name
is based on the name of the folder.