I don't think this can be done on a BB. But you can encrypt the file on your computer and transfer it to your BB. Then transfer the file back to your computer and decrypt it.
Posted from my CrackBerry at wapforums.crackberry.com
I think Areize explorer does this with rar files as well as zip files. Its not free but its worth looking into. You can get it here Aerize Explorer 2008 - Premium BlackBerry Utility Software it has a free trial. Give it a shot and see if it works for you.