Well I dont know about winzip, as I use Win Rar like most people. I'd suggest getting Win Rar:
1. Highlight all your nes roms,
2. Right Click, select 'add to archive'
3. A new window will pop up, select 'zip file' not 'rar'.
4. Click on the 'files' tab at the top, at the bottom there is an option to put each file into a seperate archive - you'll want to do that.
5.Click OK, and wait.
Yeah, it sound long but it's not. Hope that helps.