Hello GH, and welcome to Seven Forums.
By default, the compressed (zipped) folder is always created at the same location as the file(s) that you are zipping.
I'm not sure that could be changed. As a workaround, you could use the Move to Folder
option from the tutorial below after creating the ZIP folder to move it like that to where you want. Context Menu - Add Copy To Folder and Move To Folder
Hope this helps,