It is probably a version problem between gzip and winzip.

I first sent a gzipped file to NT and tried to open it. I used gzip version 1.2.4 (very old Aug 93) and WinZip 7.0. WinZip didn't want to look at the file - gave me an option to use WinZip classic which did open the gzipped file.

I then used the commands found in the different questions answered in the past about mailing attachments. I mailed the gz file which showed up as an attachment in Outlook. I saved it to disk, opened up WinZip (used classic) and it worked fine.

Command used:
uuencode messages.0.gz newmess.txt |mailx -s"test" myself@mydomain.com