It is really easy to setup it. I assume you are using the standard Dreamweaver Server behaviors, as you mention "recordset"?
If yes, all you need to do is:
1. A Recordset with file names/location
2. A form that wraps your repeating structure
3. The following example structure, that you are going to repeat:
<li><input type="checkbox" name="checkbox" id="checkbox[DYNAMIC_ID]" value="[DYNAMIC_FILE_LOCATION_HERE]"> Dynamic filename here </li>
The checkboxes should have the same name attribute, but dynamic ids.
4. Apply a repeat region on the <li>
5. Add the zip processor to your page, select zip option: Form, and choose the checkbox name there.
6. Add a submit button, that submits the form. On submit the zip processor will zip and download the selected files.
You can use ANY structure to repeat, ul>li is just an example.