It's not built into Windows, but it's in the Resource Kit Tools as COMPRESS,
C:\>compress /?
Syntax:
COMPRESS [-R] [-D] [-S] [ -Z | -ZX ] Source Destination
COMPRESS -R [-D] [-S] [ -Z | -ZX ] Source [Destination]
Description:
Compresses one or more files.
Parameter List:
-R Rename compressed files.
-D Update compressed files only if out of date.
-S Suppress copyright information.
-ZX LZX compression. This is default compression.
-Z MS-ZIP compression.
Source Source file specification. Wildcards may be
used.
Destination Destination file | path specification.
Destination may be a directory. If Source is
multiple files and -r is not specified,
Destination must be a directory.
Examples:
COMPRESS temp.txt compressed.txt
COMPRESS -R *.*
COMPRESS -R *.exe *.dll compressed_dir