You can copy the saved games to CD-R/RW, but do not need to remove them before installing the patch. If you save them to a CD-R and later for some reason need to copy them to the hard drive, make sure you clear the read-only attribute (select the files in Explorer, right click, select Properties and clear and checkmark by the read-only attribute).
Probably not the best howto around, but the best i could find in a quick search;
File Compression and DecompressionWindows XP has basic zip features build in, or the help files of various
freeware archive managers should provide details. Most have some form of context menu support, so you can right click to zip files/folders or to unzip archives.