I think its something like "Send (to)... -> Compressed folder". Not sure though, I use Vista and it has been translated into Finnish. But, worth trying.
EDIT: 2 additional ways to make yourself a .zip:
Way number 1:
- Go to WinRar or any program that can make .zips.
- Create a new .zip.
- Add your files to it.
- If required, rename the file(s).
This was pretty much simplified, though, and I haven`t ever done compressed folders this way. I can create them directly.
Way number 2:
- Download an existing .zip.
- Open it.
- Delete everything in it.
- Copy & paste your files to the .zip.
- Rename the .zip file.
Atleast this should work.