The .Z01 (and .Z02, .ZA03 ...) files are created by the zip program when it senses that the backup would result in a file that is larger than the largest file that can be stored using the file system on the target drive.

If you are backing up to a regular hard drive using the NTFS file system, this is about 4 gb.

If you backing up to some other device, like a USB "stick," it may be much smaller.

Try redirecting the backup to a different device if you wish to avoid this.

WinZip should be able to deal with the multiple files, just open the .ZIP file and it will read the other files as needed, provided you keep them together in the same folder. (You will notice that .ZIP file time is slightly later than the other files; it was created last and contains the listing of the other files.)