Opus supports multiple archive formats (Zip support is built-in, and support for other formats like 7zip and RAR is provided by means of a plugin). There are a number of ways to create an archive, but if you want a completely new, empty archive file, the easiest way is with the New Archive command in the New Folder dropdown menu.
Enter the name of the archive (or accept the default name) and use the Archive Type drop-down to select the type of archive you want to create. The file extension of the new archive will change automatically to match the type of the archive you're creating.
See the documentation for the Create Folder dialog for more information about using this function.
Once you've created a new archive, you can add files to it in several ways. Opus treats archives exactly like a folder; this means you can:
The New Archive command creates an empty archive which you can then copy files into, but if you have one or more files that you want to add to a new archive, you can skip the New Archive step by using the context menu items that Opus can add. If turned on, right-clicking the files or folders will display one or more commands for adding to a new archive.