Advantages of having Windows compress your files:

You'll get more disk space. Windows automatically compresses the files when they are stored and decompresses them when they are read.

Disadvantages:

• Disk access will be somewhat slower. This may not matter if you only compress folders where you are storing infrequently accessed documents.
• If you have problems with your disk, it may be harder to recover the files which have been compressed.
• You can't use encryption on compressed files. (Encryption allows you to hide the contents of files so that only you (or a person logged in with your password) can read them.