use the tar utility - see the man pages for tar to see the details.
Basically you do this:
tar -czf tarball.tgz .
-czf means to create a new archive, filter through gzip, and stick in the filename wot comes next.
"tarball.tgz" is the name of the new archive
"." is every file in the current directory (you can just type a list of files if you want).
or you can tar, then gzip, one after the other...
tar -cf tarball.tar . | gzip -c
which will give you a file called "tarball.tar.gz" but this is the same as tarball.tgz