It's not something that you get; it's there already. It's simply a case of selecting File and New... when in a folder (or right-clicking in an empty space in the folder window) and selecting Compressed Folder. Then dump files into it. To uncompress, double-click. Nice and easy to use. You can create one on the desktop as well, and even use the Send To command when right-clicking on a particular file or group of files.