Let's start saying that BMZ and BMP.GZ are synonims of the same file format. BMZ files are simply BMP files compressed with the GNU GZIP. Incidentally this is a simple/quick/better-than-GIF/trademarks-free image file format.
1) Pick your favourite paint program
2) Save your picture in BMP format
3) Use GZIP on it
4) Done...
Use my DIBLib.DLL :-)
It a allows you to load/save BMZ as well as BMP images, plus some utilities functions of DIB manipulation
The first person who needs DIBLib is me! So I spent a few days in collecting some DIB examples from Microsoft and put them together in a DLL. It doesn't seem honest to me to claim something back for a code that I didn't write.