You can ZIP them all up into a single file with a program like WinZip.
In the process this will compress them.
But if they are jpegs (they probably are) then I doubt if compessing them will save much space.
If you have not got them backed up to CD or DVD then you should do so urgently as one hard disk crash (or if someone steals your PC) and you could lose the lot.
If they are JPGs you could well increase their size on disc if you zip them.I just tried with 23 files - 1.65MB
and got the following archive sizes
zip=1641k
rar=1639k
7zip=1635k
uha=1623k
(yes I'm bored!) - you can see the gains are minimal - not worth the effort
You can get win uha from http://www.klaimsoft.com/winuha/