Use a for each loop and pass the list of string variable and inside for each loop use compress zip file and pass the currentitem variable of for each loop and provide the path where you want to save the zip file.
Use for each activity to loop all the files in folder. Inside For each use Compress/Zip files activity. Pass the currentitem variable of for each as a filename. Provide a output variable in which out get the zip file.
The Compressed file name is my project specific. Make sure that file path "Output\Zipped File.zip" is available in your project. Looks like you don’t have the Output folder available in your project.