ZIP is built into windows - at last in XP and above.
Never used option that as I have had the stand-alone versions for many years.
ZIP, RAR, 7-z, etal are merely compression programs. Think of them as a bullet-proof suitcase for travel.
To transport very large files (some EPS files can be multi-gig) in native format you can do so in two ways.
Direct transfer - use FTP or even open Windows Messenger between two computers and send that way.
Indirect transfer (most common) is to use a hosting site, preferably free, where you send the file to a server and then get a link which you send to your client so s/he can download it at will. Both of you will see ads. No big deal. I have a Rapidshare account so I and my clients are not bombarded with ads.
Most mailboxes can take a file up to just short of 10 megs but that is also the total of mail they can have pending. If sending a large file (5-6 megs), tell your client to empty their mailbox first and be sure to remove the mail with your attachment immediately after or they may have mail that bounces due to mailbox being full.
Getting a free mail account from G-Mail, Hotmail, Yahoo and the like to receive large attachments and keep them out of the mainstream business mail is another way to go.