Cookie, zipping files into an archive and compressing them are two different things. Zipping files is much more effective at reducing size, and if you have the WinZip utility, it allows you to apply a 256-bit AES encryption to the archive, making it hard for people to get at what's inside the archive. Compressing them without putting them into an archive (disk compression) is an NTFS feature. As mentioned above, it's not as effective at reducing file size.
I know that .01MB isn't that big, but I was compressing JPG images, which is already a compressed format, so there isn't much change. But in any case, it still shows that NTFS compression isn't as good as WinZip(or WinRAR) compression