You can download WinZip from the course software page.
To create a file with WinZip, first select all of the files you want to add. Then, right-click the files, select "WinZip" and "Add to ???.zip".
This will create a .zip file in the same directory.
You should submit the .zip file to the submission server. The name of the .zip file doesn't matter when submitting it.