if you check your blockland\saves\ folder, it should have .bls and .jpg files with matching names
if you put a .bls file in there, BL will be able to use it, but without a matching .jpg file it won't have anything to display (just more confusing for the user when going through it)
also, if you're making a .zip file, it's as easy as going to the folder where you want it, right clicking the background, and then clicking new -> compressed (zipped) folder, you are now able to drag and drop files into/out of it

another way is selecting the files you want, right clicking them, and selecting send to -> compressed (zipped) folder

you just don't need one in this case