Does it specifically have to be .zip or can it be any compression? If it has to be .zip, first make sure the "zip" package is installed and do this in a terminal:
zip zipfile_name file1 file2 file3
I know you said preferably through a GUI, but that's the fastest way that I know. I'm not sure how well-versed you are with globbing, but you can speed it up a lot if you have a lot of files to include. The simplest way, though, would probably be to move all the files you want into a directory, then do:
zip zipfile_name /path/to/directory/
On the other hand, if you just want really good encryption, you can use the 'tar' utility to encrypt with bzip2. It's command-line too, but just as easy to use.
tar cvjf filename.tar.bz2 /path/to/directory/
While daunting at first, the options break down easily:
c: create
v: verbose(to tell you what's going on)
j: bzip2
f: filename
BONUS: If you ever come across any .tar file, the easiest way to extract it is with the following command:
tar xvf filename.tar.xxx
x: extract
v: verbose
f: filename
I hope this helps! :)