Either:
Winzip:
Open Winzip, and tell it to add the files to the archive

using the menus.

Windows XP:
Create a new zip through file, new. Then

copy the files or the whole folder and open the zip file as if it were a

folder itself. Then paste the files in.

Even if you have XP it might be

worth using WinZip, because it gives more options. You can set WinZip to use

a higher level of compression, making the end file smaller. Depends whether

you're zipping to keep the size down, or more to keep the files together.

Winzip's free, at least for a trial that never seems to stop

working.
www.winzip.com
You can also get a self extractor plug in to make

executable files that automatically unzip when you run them, for the benefit

of anyone downloading it that doesn't have a zip utility. The one in

Windows XP is very convenient and easy to use, but very rudimentary.

It's

integrated into windows explorer and the folder browsing system. I can't

remember the exact name, but there's an option under the new menu in

windows explorer. Just go to where you want to make the zip, go to the file

menu and into the new submenu. It might be down as archive, compressed, or

something like that.

It isn't something you have to go into seperately

like Winzip is, you won't find it on the start menu.