Try adding the path down to the directory where the WinZip application is installed. The below creates the zip file c:\zzz.zip with all of the .txt files in the directory. You can also use the FILENAME statement and PIPE device which is featured in an example on the SUPPORT.SAS.COM home page. This example unzips a file however.
x '"c:\program files\winzip\wzzip.exe" c:\zzz.zip *.txt';