If you want to zip up a folder, say the SQL files in import_export/mysql, follow the steps to find the league folder.
From the league folder, double-click on import_export, then you should see a mysql folder
Right-click on mysql, choose Send To > Compressed (zipped) Folder, like:
After you choose that, a mysql.zip will be created.
Two-finger click on mysql, choose Compress "mysql" like:
After you choose Compress, mysql.zip will be created.