do you mean a ReaperThemeZip? i don´t think that the program you are using matters - winrar, winzip, 7zip, ... they all should work
i always used winrar.
just choose .ZIP in the options as filetype and name the file to "your_theme_name.ReaperThemeZip" (Attention: case sensitive!)
Hi,
On a Windows machine, I select both the folder, and the theme file. Right click, and choose send to compressed (zipped) folder, which is built into Windows. Then rename like what matsuri said.