You could use DTS (Data Transformation Services).
Create a job that exports the data to a foxpro table and then use an execute process task to zip up the file.
Or
If you want to do it from foxpro:
Create a dbc with an appropriate connection to sql server.
nconn=sqlconnect('myconnection')
sqlexec(nconn,'select * from mytable','mycursor')
select mycursor
COPY TO somefilename
!run pkzip somecommandline
I don't remember the pkzip command line syntax but I am sure you can look it up.