You can select which file types and/or limitations you want to set. Open the assignment and set the Submission Type to Online. Your students can now hand in whatever file type they want. If you want to get more specific (because you only accept certain types of zipped files) you can hit Restrict Upload File Types and then type zip - now the students are required to hand in a .zip file. 

You might want to add some more file types though as not everyone is using the Windows standard. I would add: zip, zipx, rar and 7z   

A lecturer would absolutely have to download and unzip the file, there's no way around this and it won't work with SpeedGrader. But, there's nothing stopping your students from handing in several files so if that's what you want. You may want to restrict the file types, but just inform your students of what you expect them to hand in. Basically, several files for one assignment works with SpeedGrader but not if they are zipped.