Compression works like this:
Basically the compression program (e.g. Winrar (an advanced version of WinZip)) finds gaps in code which it can take out, and puts this in memory, or makes the codes shorter and so saves loads of bytes, even megabytes of space. After you de-compress the file on the other end, it re-creates the code it had from memory, recreating the files file size.
What you will find is the programs you have downloaded can not be compresed down much farther.
EXE's usually can compress a bit, but other document files can more. So you will find that that is the max you can probably compress them, since this hold alot of code.
There might be more compression programs which might do more, but WinRar is the best I have heard of at this.
David's right in saying it shouldn't make a difference, though if all the games are in one file and you are compressing that whole file. It might be best to split the games up, and compress these all seperatly to lower them into smaller chunks, though it seems you couldn't do much else
Hope this helps