Just FYI, to zip files/folders in Windows XP, you can open Windows Explorer, browse to the location, select the files/folders Right click and select Send To | Compressed Folder. You could also just copy the saved game folders to another location, but compressing them would save space. To extract files/folders again, you can right-click-drag-and-drop the zip file to a folder and select something like 'extract here' from the menu that pops up when you drop. Alternately, you can double click on the zip file to open it in a folder view, then select the files/folders to extract and copy them.
For Win 9x you would need a third party archive manager (ME has a very basic extraction function built in). In most cases they add options to the context menu mentioning (un)zip, archive or compress/extract. If you do not already have one installed, see this list of freeware
archive managers.
