By default you will find Compressed (Zipped) Folders when ever u right click any file or folder and choose "Send To".
And what to do if you do not have an option of Compressed (zipped) folder command ? Or what if you want to get rid (delete) any other option of sending such as Blue Tooth Devise...
In Windows Vsita / Windows 7, the items related to "Send To" Are stored In the following location.
C:\Users\%username%\AppData\Roaming\Microsoft\Windows\SendTo
For Windows XP the folder will be in
C:\Documents and Settings\%username%\SendTo
You can download the “Compressed (zipped) folder” from here. http://cid-a7afaec8109c86e2.office.live.com/self.aspx/.Public/780f682a-7619-443f-8478-64c7f967d889/Compressed%20%5E5zipped%5E6%20Folder.ZFSendToTarget
Also you can manually delete the entry that you dont want to display in Send To Options, for example, Bluetooth device.