Some thing just don't compress well. Pictures have a lot of detail so there isn't much wiggle room when it comes to compression.
To get the file size down there are a couple of things you can do. Remember that some of these will hurt the quality of the pictures.
Save it in a different format. A picture in a bmp format is much larger than the same picture in a jpeg format.
Cut back on the colors, some picture don't NEED to be a million colors. Web picture can often get by at 256
What are you trying to do with the pictures? If your trying to zip them and email them to someone, you could up-load them to photobucket and then have "who ever" download them from there.
Or you could make the large zip file and upload it to a storage place on the web like Myfreefilehosting.com