what version of Mac OS do you have? (Apple logo, About This Mac)
In 10.6 (Snow Leopard) select the file, go to File and choose Create Archive, or ctrl+click on it and choose Create Archive
In 10.5 (Leopard) select the file, go to File and choose Compress, or ctrl+click on it and choose Compress "Name of the file
I don't remember about earlier version of Mac OS. But you could go here http://www.yellowmug.com/yemuzip/
download YemuZip, open YemuZip, drop the file you want to make a zip file of in the appropriate area of the YemuZip application, hit OK and you will get your zip file.
CédricFAQ will soon be updated and hopefully improved