If you need to combine many files into one convenient file to send as an email attachment, or for back up purposes, the easiest way to do this is to create a zip file. A zip file is basically a compressed folder that contains multiple files.

1. Select the files / folders you wish to zip (you can put them all into one folder, or hold ctrl and click on each individual file / folder)
2. Right-Click on a selected file / folder
3. Hover over Send To, then click on Compressed (zipped) Folder
4. A zip folder should appear with the selected contents contained inside. The zipped folder acts as a single file. It may take some time for your computer to compile the new file.

The above process works in Windows XP. There are a variety of utilities out there such as WinZIP and WinRAR that can also perform this task. Most such utilities will install themselves into your right-click menu, meaning that you can right-click inside of Windows Explorer and choose to create a ZIP file out of selected files.