WinZip or any other decompression utility.
Windows XP should have an decompression tool built in (although I think
it's an optional extra on the CD and I don't know if its installed by
default). You might need to install it from Add/Remove programs in Control
Panel.
Also, if you want to know whether it is installed, for example, go to your
My Documents folder, select a document, right click and select "Send to" and
it should have a "send to zip folder" or similar in the list like (send to
CD, Send to External Drive etc - if the built in compression utility is
installed - or if a third party tool is installed).
I believe Windows 98/ME had this "zipped folders" utility also, along with
Windows 2000 professional.