There are several types of zip or compression software; you can use anything that produces a file with a .zip extension.
Windows has included zipping functionality since Windows XP so you do not need additional software in XP or Vista.
To create a zip file, you need to save all the files you wish to place in the zip file into a folder. Then right-click on the folder from My documents or your desktop, then left click on the Compressed (zipped) folder option.
You have now created a zip file containing the files you placed in your folder, you can then select this file when choosing a file to submit to the eTMA system.
If you are using different software, you should look at that software's help pages for instructions.
If you need further information, consult 'Windows Help'