How to create a compressed zip file. Zipping Multiple Files Use "Windows Explorer" or "My Computer" ("File Explorer" on Windows 10 or 11) to locate the files you wish to zip. (It will help if you move all the files you wish to zip to a single location.) Hold down [Ctrl] on your keyboard > Click on each file you wish to combine into a zipped file. Right-click and select "Send To" > Choose "Compressed (Zipped) Folder."