A person who wants to compress a number of files into the same folder will often use a SFX - Windows Self-Extracting Archive for this purpose. There are a number of programs that can create and/or open file types of this nature, the most common ones being RARLAB, WinRAR and WinZip. These programs are free and can easily be downloaded from the internet.
Compressing one or more files together makes them smaller than they would be otherwise. This allows a person to send the files via email, store them on a hard drive or simply make more space on his her hard drive.