There is now a ready-made extension that does exactly this:
https://winscp.net/eng/docs/extension_archive_and_download

You would have to write a script that opens its own session (to the same host), creates the ZIP and downloads it. The script can also refresh WinSCP GUI file panel when it finishes.

See https://winscp.net/eng/docs/guide_custom_commands_automation

You basically need script like this:
https://winscp.net/eng/docs/library_example_zip_and_upload
Except you have to create the ZIP remotely (using the Session.ExecuteCommand) and download it (using the Session.GetFiles)

Hi, i would like to make a custom command to zip and download a file in one step.

The zip part is already done, but i dont know if i can append the download instruction...

Any suggestion?

Best regards,
Federico.