gzip compatibility with WinZip/PKZIP

I have 4 files in a dir ,
A_to_Z.txt
Z_to_A.txt
1_to_20.txt
20_to_1.txt
I want to create a single gzip file which will contain these 4 text files. This gzip file should be compatible with Windows PKZIP/WinZip. I know you will suggest 'tar' command. But PKZIP/WinZip dont recognize zipped tar files seems. Please help me in this.

Thanks,
kanu_kanu

use zip command
zip <filename>.zip A_to_Z.txt Z_to_A.txt 1_to_20.txt 20_to_1.txt

i forgot to mention the platform . I need it in HP-UX. It wont have "zip"

Gzip can compress only one file at a time because it's a compressor, not a packaging utility. Because of this, if you want to put together many files you have to tar them and then gzip the output tarfile.

So you can:
1) Install and use "zip" utility on your source machine
2) Use tar, gzip and install an appropriate utility on the Windows machine
3) Compress each single file with gzip