With WinRAR can you compress files. It support RAR, ZIP, CAB, ARJ, RAR and LHZ files.

WinRAR features:

WinRAR introduces an original compression algorithm. It allows higher compression ratios than other PC archiving tools, especially on executable files, Object libraries, large text files, etc.
WinRAR offers an optional, compression algorithm highly optimized for multimedia data.
WinRAR supports files and archives up to 8,589 BILLION GIGABYTES in size The number of archived files is, for all practical purposes, unlimited.
WinRAR provides complete support for ZIP archives.
WinRAR offers new facilities and features such as a graphic interactive interface utilizing mouse and menus as well as the command line interface.
WinRAR provides functionality for creating a 'solid' archives which can raise the compression ratio by 10% - 50% over more common methods, particularly when packing large numbers of small files.
WinRAR offers the ability to create and change SFX archives using default and external SFX modules.
WinRAR offers the ability to create a multi-volume archive as SFX.
WinRAR offers a number of service functions, such as setting a password, adding archive and file comments. Even physically damaged archives may be repaired and an archive may be locked to prevent further changes. Authenticity information may be added for additional security and WinRAR will store information on the last update and name of the archive.
WinRAR provides ANSI esc-sequence support in comments. This allows color comments and other ANSI features without the need for an ANSI-driver.