A "zip file" is a type of folder that is compressed to make it take up less space. It is used to store and send multiple files together in one package. Full definition
Select multiple documents in a search result and download a single zip file containing the selected documents in PDF format. (brochure.docketnavigator.com)
What you need to do now is create a new zip file with all of these in. (andrewhickey.info)