If you're using Windows XP, it already has the ability to create .zip files.
To create a .zip file, first select all of the files you want to add. Then, right-click the files, select "Send To" and "Compressed (zipped) Folder".
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.