Gzip and LZMA are two very efficient algorithms used for compressing files. These are mostly used in conjunction with a TAR archive, since these can only compress a single file. Hence when one requires to compress multiple files/folders, they first create a TAR archive and then perform Gzip or LZMA compression on it. You can use my free TAR Archiver and Extractor utility for creating TAR Archives.
This free & light-weight utility allows you to compress your file with Gzip or LZMA compression, as per your selection; and decompress files compressed with either of these, using its intelligent detection mechanism.