It is easier for us a zip file rather than multiple separate jpeg. It is not for the compression, but for the fact that there is only one file to download, as most of the admins access to the email account using webmail and not using Outlook or similar.
For making zip files, there is 7zip that is free, but it is maybe not the easiest to use. You can also try Izarc. There are many other free programs but I do not know them.