Today someone in a Perl related Usenet group stated that he had no Gzip for Windows, and hence was trying to write a solution in Perl. So I replied to his message with a link to the GnuWin32 section on SourceForge which has a lot of ports of tools with a GNU or similar open source license ready for download and use under Microsoft Windows.
Two packages I use a lot under Microsoft Windows XP professional are the aforementioned Gzip (for compression and decompression), and Wget. The latter can be used to download (parts of) a website via the command line.