I got some code from Peter W a while back that will do what you want. To make this work, save a few text file datasets (e.g. csv format) into Big Class.zip. Then run the following code:
zipdt = open("c:\temp\Big Class.zip", Zip);
zip_member_list = zipdt << dir;
// Open each member file
for (i = 1, i <= nitems(zip_member_list), i++,
zip_file = zipdt << read(zip_member_list[i], format(blob));
// Open the file
dt = open(zip_file, text);
);