well, for this i use winrar (ifind it easier) fir winzip though you to the folder your skins are and then go back to the entities folder they come from, right click on it and click on winzip->add to zip file and then just click add. for winrar you do the same, but instead of clicking winzip add to zip file you click on winrar add to archive, change it from rar to zip format and then click ok. phew, hope that can settle things out for you!
EDIT: after you have created the file (with all the skins in) you must rename the file from say, 'elephant_varinat.zip' to 'elephant_varinat.z2f