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Select the files, right click (or ctrl click or however you have it set up), Create Archive I believe is the command.
 
Select file, then right click (cmd-click) and create archive.

That's how it works on my iBook

Edit: Damn Beaten.....I'm a slow typer!
 
or you can download Stuffit. There's a DropStuff app with it where when you drop a folder whatsoever, it compresses to zip for you.
 
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