Compressing files.

Ok, I've downloaded many files that are copressed, I know this is to make the smaller (like 5MB Package that extraxts a 20MB file), so I use WinRAR and works fine.
But me having a 360kbps conection, (relatively small upload speed), could use the compressing method to make good files to upload, so, how could I do this?
I've never done this, do I use winRAR too?, cus I can't seem to find the option to do it.
Or are those files actually compressed with other aplication?

Yes, Winrar is the application used to compress the files.

Right click the file you want to compress (or the folder) and in the right click menu that comes up, choose "Add to archive". Then you decide wheither you want to choose it to be a zip or a .rar archive.

right click the file > add to archive
at the bottom theres a "split to volumes, bytes" option
you can use the drop down menu to use preselected sizes,
or enter your own value in bytes