If you want to hide a whole "disk" work of space, use TrueCrypt
http://www.truecrypt.org/
You create a "volume" which is encrypted by a password. You open the volume
with the password, then it acts just like a regular E: drive (or whatever drive
letter you pick).
Winzip and WinRAR also have encryption options, and can package files together in compressed archives.
BTW, you must always compress before encrypting, because after encrypting, the data looks random and can't be compressed.
