If it's Windows 10 the zip capability is built in and all you do is go to your file explorer, highlight all of the files you want included in the zip, then look up on the bar and click SHARE then click ZIP
If it's any OS besides Win 10 you have to install some zip software. Best free version is 7zip, best purchased version is WinZip.
install 7Zip. after that you can SELECT any list of files, right click and choose add to zip.
Both Windows & macOS have the options now. Just right click on whatever file(s) you want & you'd see the option to compress.
Use a zip program (PKzip, Winzip, etc.).
Install WinZip. Drag and drop files into a zipped folder.
On my Windows 10 computer,
from the file explorer, just click on the file >share > zip.
On linux you can use zip and unzip commands in the terminal.