That was annoying me too, but I found a way to disable it. Type at a Command Prompt:
regsvr32 /u %windir%\system32\zipfldr.dll
[edit]
Ok this works for a while, but Windows seems to turn it back on after a few minutes... I'll keep looking for a solution

[edit again]
I was wrong. Windows doesn't turn it back on a few minutes later, its just the File Association is removed and double clicking a ZIP file will re-enable compressed folders... so after typing that command (regsvr32 ...) make sure to go associate zip files with your archiving program.