yeah right...but theres another (think better) way to collect all u need in a scene...
its under utilities--->more-->resource collecter
in it u can specifiy one folder where all your textures and photometric lights will be copied to and at the same time update all your mats in the scene with a tex-path to that specific folder (you have to tick "update materials")
and tick "include max file"...
that way you'll get a folder which is much more tidy
the way tyson described copies your folder hierarchie in the zip file, ...say you have your textures in 20 different folders, you will have 20 different folders in your zip
hope this helps...
theres one thing it won't do...it won't collect your textures for displacement in displacement_mods (if you use) you have to copy them manually
greetz
troubs