MPEG Video Compression for downloads

I own a website and have a lot of video content I would like to upload to my server that my visitors can download. I was redoing my MPEG videos through Window Movie Maker 2 so that I could make the file size smaller for them and in turn, change the format to .wma. The trouble is, when I reduce the size, I lose a lot of quality. Can anyone reccommend a program to reduce size but not quality. Also, can a program such as winzip compress a video file so that it can be uploaded to a server as a zip file? I'm new at all of this so any help would be greatly appreciated.