My "File->New->Create compressed (ZIP) folder menu entry does not exist" ?

I want to create a zip (=compressed) folder in WinXP.

On some web pages I read that the normal way of creating such a compressed folder would be

either by using the Windows Explorer or the context menu and choose the entry

File->New->Create (compressed) folder.

Unfortunately this menu entry does not exist on my WinXP system

How can I re-create it ?

Is there another way of creating a zip folder ?

BTW: Can I select the zip compression rate (as in separate zip tools)

or is this fixed built-in ?

Frank