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Introduction to Linux - A Hands on Guide
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If you want to compress many files you first need to join them using another tool. Usually tar is used for that, since it has support for bzip2 (-j) and gzip (-z) integrated. But any other tool that's capable of joining files (and split them when required) will work as well.
Notice also, that there are several restrictions on operations on compressed archives. First of all, compressed archives cannot be modified, i.e., you cannot update (‘--update’ (‘-u’)) them or delete (‘--delete’) members from them or add (‘--append’ (‘-r’)) members to them. Likewise, you cannot append another tar archive to a compressed archive using ‘--concatenate’ (‘-A’)). Secondly, multi-volume archives cannot be compressed.