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As far as I know, any recent version of WinZip can handle tar archives. So just tar the files you want, and gzip them.
You could also try zip. It allows multiple files to be placed in a single archive. It's compatible with PKZIP which I believe is WinZip's underlying compression routine (but I can't say that with any certainty).
You could also use the setup given in the "ADVANCED USAGE" section of the man page for gzip. It isn't a clean solution because the archive's individual pieces don't unpack into spearate files. There are ways around this problem, but it's probably not worth the effort.