If you're going to be doing this often, or if you just want to be sure
it works correctly, here is one thing that will work.

Install Cygwin (www.cygwin.com) on windows and make sure you choose the
compression packages (tar, gz, etc).  Then, you can compress your stuff
from a cygwin prompt just like you would in linux.  You can then use
sftp command-line style from cygwin to move your file.  You can even use
cygwin to ssh into your box and uncompress your file.  

Matt