The default file-manager used by Xubuntu's XFCE DE is Thunar.
When you select "Create archive..." it should pop up a dialog from file-roller that has the name of the file you right clicked in one box and then a file-extension in the box next to it.
.tar.gz is the default file-extension.
If you left-click on the box containing the file-extension, you should be presented with a list of alternative extensions, including zip.
The exact list of extensions available will depend on which archive formats you've installed software for.
zip should be built in, but just in case - you might want to ensure that you have the zip and unzip packages installed.
Once you have set the appropriate file-extension, click on "Create" and file-roller will compress your file.
And as a fallback - if you're really stuck - you could do it in the terminal like this: