I have been trying to download and install gzip. I went here: http://www.gzip.org/#exe and downloaded the self extract format (gzip124xN.exe). I double clicked on this and all that happened was 4 files (COPYING, gzip.doc, gzip.exe, README) were added to my desktop. gzip.exe does not run. So I attempted to download Win-GZ 1.2 (released in March 2003) from various mirrors at http://tinyurl.com/93zpw , but was taken to Registry Mechanic 5.1 download sites.
gzip download
just use winrar or 7zip they both can do gzip.
I like winrar , I think it's best.
Oh, let me guess - you clicked it and nothing happend - there was no pretty graphical interface? Where - here's the news - it is a console program. It means that if you want to use it you must first read the README file. Then go back and really read the README file. Probably you will also have to read gzip.doc. And when you finish you must click Start, then Run, and then write something like "cmd" and click ok. Now you could use all your console knowledge to run gzip. Don't like it? So I will also recommend WinRAR.
Not everyone wants to work with command prompts 
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