The popular (shareware) Windows application WinZip can extract data from many popular formats, will create compressed "archives" from files and directories, and is generally a handy tool to have around.
It will "unzip" the usual output of the Unix compression programs:
Read the WinZip help to find out how to create archives. (Often WinZip is configured so that when you click the right mouse button on a file or directory, an archive will be created - or added to. On my computer, in Windows NT, a right click offers a menu option called "Add to Zip".) Compression is very useful, since disk space is often limited (or expensive). If you're not using files, keep them compressed!
You can unzip all these formats from a UNIX account: IF you're interested, here's how.