WinZip is a program that takes a collection of computer files and bundles them into a single package generically known as a "zip archive." Microsoft includes a form of "zip" utility with its OS (operating system), but you may wish to download it through CITES (for affiliated UIUC users).
Generally zipping a collection of files makes the total smaller than the sum of its parts. Also, if you use Illinois Compass you can only upload one file at a time; if you have lots of files to upload, as well as nested folders, you can use WinZip to zip together as many files as you like, and then upload that one zip file and "expand" the archive, which is a much faster option.