I had a problem with Windows 7 where the Compressed File option was missing from the Send menu. Luckily I knew how to bring it back. This will work for Windows Vista also.
1. Hold down the Windows Key and press R or go to Start > Run.
2. Type regsvr32 %windir%/system32/zipfldr.dll
3. Click OK.
See if the Compress Folder option is back. If not you may have to perform these steps.
1. Open Notepad.
2. Click File > Save As…
3. Name the file Compressed (zipped) Folder.ZFSendToTarget and Save it.
Try that out.