NTFS compression will compress a file to decrease its size. It'll not change its extension. Also it'll not make any archive containing the original file. Windows shows the compressed files in Blue color.
Compressed Zip folder is a built-in feature in Windows, which creates an archive containing the file just like 3rd party software WinZip, WinRAR, etc do. By using this built-in feature, you don't need to install these 3rd party utilities.
PS: Compressed Zip folders feature can be used in both FAT32 nd NTFS paritions but NTFS compression can only be used in NTFS partitions as the name suggests.