PclZip is a module to integrate the pclzip library into Drupal.
This module needs to copy the pclzip.lib.php file to the pclzip subfolder of the module.
More infos and the lib file can be found in the pclzip website : http://www.phpconcept.net/pclzip
You can use pclzip_zipfolder to zip all files from a special directory.
You can use pclzip_zip_node_files to zip all the attached files contained in a node.
You can use pclzip_zip_content_files to zip all the attached files contained in the nodes displayed in the content.
Another module offering almost the same functionality is http://drupal.org/project/download.
This one is more actively maintained, and maybe some of the pclzip submodules will get merged into the Download module in the future.