You can create a new, empty Zip file on the desktop: right click anywhere
on the desktop and select WinZip File from the New submenu. After
you've created it, change the name if desired and then double click the icon to
open it using WinZip®, or use drag and drop to add files to the new Zip
file.
Be sure to read about drag and
drop for more things you can do on the desktop.
You can open recently used archives from the Documents submenu in the
Start menu.
Note: Windows XP and Vista do not display Zip files in the
Documents submenu. You can use the WinZip Quick Pick taskbar tray
feature to open recently used archives.