Quote by Maff
Quote by Mac of BIOnighT
Really? No loss at all? Fine, then, thanks!

Now all I have to do is find out how (never done it before...), but I guess that won't be a problem

Thanks again!
Actually, you would be much better off using what is known as a lossless encoder. Zipping an audio file will have very poor compression results, whereas lossless encoding will reduce the file size to around half without loosing any quality. Google .FLAC or .APE.
I had assumed the question was about files which were already compressed to MP3. Zipping an MP3 won't make the file smaller or compress the audio further, but it's a simple way of getting a whole bunch of separate files into one file.
As for lossless: APE is pretty much dead as a format. Development seems to have stopped, no support on current Mac systems, compatibility issues between different revisions of the encoder, fun stuff like that.
FLAC is probably the most widely-supported lossless encoder, but there's one glaring omission: iTunes/iPods can't play FLAC files. And that's not likely to change soon, because...
Apple has their own lossless encoder (sometimes called ALAC), which is supported on the iPod/iTunes, but not in many other places.
It's important to note that lossless audio will be, at minimum, 60% of the file size of WAV/AIFF, making it impractical for many people and situations.
Alternately, RAR compression works almost as well on uncompressed audio FLAC/ALAC/et al, but RAR isn't widely used.
MP3 is far from being the greatest format, but it is very widely supported and you can be sure that almost anyone who downloads an MP3 file can play it back.