He just means your Cubase Project Folder, where your Cubase project file (.cpr file) lives in.
To “zip” a file is to compress it, so it shrinks in size and better protected against file coruption when transferring the file.
I am a Mac user but i think in Windows, if you ctrl-mouseclick on your Cubase Project Folder, you get a context menu where there is a compress (zip) function.
Hope this Helps !
Robbie