Is This Possible To Encrypt A Compressed File On Windows Like Windows 2000 And Windows XP?

I'm not sure exactly what you mean by that as there are many ways to encrypt and compress any types of files and yes they both can be applied to a file.

Well first of all as far as the system is concerned when you have it compress and or encrypt a file it sets flags on it so it knows what to do when it tries to read it, if it compressed it, it sets the compressed flag and if it encrypted it, it sets the encrypt flag (same goes for the read only, hidden, etc flags).
If you mean a file compressed by the system then yes it can be encrypted also.  The two are not the same attributes and both may be applied.  So yes any files as a matter of fact.  For example when you create a user account on Windows XP you have the option to make your personal files private, which means that an encryption will be done on certain folders that are situated within the Users folder such as "My documents", "My pictures" and so on.  If you have not chosen to make your account private and you want the content of a folder to be encrypted then all you have to do is right click on the folder that is yours (that it must reside from within your user account folder) and select properties from the popup menu, a properties window will show up that has a few tabs; select the tab named "Sharing", Under the group of options titled "Local sharing and security" check the box named "Make this folder private".  By doing this the system automatically creates a password using some algorithm based on your username and encrypts all files of this folder and its children.  Only when you log on to your account can the system actually read those files.  You should know that if you ever forget the password to your windows user account it will be impossible to retrieve those files unless you have a password recovery disk.  To get that you go to the control panel, select users, select your user account from the list and select "Prevent a forgotten password", this will start the password recovery disk wizard.  

Now before you do this keep in mind that anything encrypted will consume CPU power and slow down the whole system so don’t encrypt folders that don’t really need it.  Also whenever you save/open or drag/drop a file from that folder it will automatically be encrypted/decrypted.

With windows XP encrypting your files based on your user account; that means you never have to enter a password other than when you log on, that also means you have to log off or switch user when you leave your computer otherwise anyone accessing your user account will have access to your encrypted files.  If this didn’t help much let me know more in details what it is that you want to do.