7-zip

This is a free, open-source file compress/uncompress program. It has multiple uses, typically used to either a) turn multiple files into one convenient file or b) make a single file (or multiple files) smaller so they can be sent across the web faster or saved in a smaller space.

This program does a similar job as Winzip, if you are familiar with that, but this handles multiple file formats, and doesn't cost anything, unlike Winzip, which can only handle ZIP files and costs $40.

Windows XP does have a rudimentary compress/uncompress utility built in which may fit your needs. Like WinZip, however, it can only handle ZIP files.

Once installed, 7-zip adds some choices to the right-click menu in Windows, allowing you to build a zip file or extract a zip file without having to open 7-zip first.

In addition to ZIP files, 7-zip can also compress files into 7, GZIP, BZIP2, and TAR, although it gets the tightest compression using 7z. It can even make a self-extracting file, using the 7z format and checking on the "SXF" setting.

It also has the ability to open RAR, CAB, ARJ, LZH, CHM, Z, CPIO, RPM, and DEB files.

Check out the 7-zip website.