If you have windows XP and you want to zip up your files place the files all in one folder and open the folder like in the picture below
Once you have all the files in the folder click on edit at the top and choose the select all option as shown in the picture below
Once you do that it'll highlight all the files. Once it does that right click on any of the files and choose the "Send To" and then choose "Compressed (zipped) folder" like in the image below
Once you do that you'll see a file that has the same name with a different icon thats much larger than the other files. The icon will be different than the others however it doesn't mean it'll have the same icon in the picture I have below.
If you can't see the file sizes and want to click on the top where it shows View and choose Details.