ennui
–noun
a feeling of utter weariness and discontent resulting from satiety or lack of interest; boredom: The endless lecture produced an unbearable ennui.
from dictionary.com
Things like Penn & Teller's Smoke and Mirrors' Desert Bus are definitely a challenge... lol
Winrar is free and fast and it will group together and compress files.
http://www.rarlab.com/download.htm
As the name suggests the format that its really made primarily to create and open is rar but you can also use it with most other similar formats of compressed files.
If you have Windows XP (or presumably also vista or Windows 7) then you should already be setup to work with zip files. zip isn't quite as good for compression as rar but will still lower the download size a bit and will do just as good a job of accomplishing the goal of grouping files together for the sake of convenience. Just drop everything you want to zip into a folder, right click on it, select send to and then select compressed (zipped) folder.