Usually, viruses DO NOT infect compressed files, BUT some does, Klez worm infects RAR archives by copying itself to archives with a randomly generated name.
(W32.Puce-U) infects compressed files that are inside P2P folders like Kazza, Bearshare, EMule, EDonkey, Grokster, Limewire etc.
The virus infects RAR and ZIP archives found in these specific P2P folders in the computer. It searches drives C, D and E for those P2P folders infecting any RAR or ZIP archives found there by inserting itself as Setup.exe, Install.exe or _Run_Me_First.exe.
http://www.sophos.com/security/analyses/viruses-and-spyware/w32puceh.html W32.KittyKat virus, may arrive as an archive and infects all files with
.rar extensions.
http://www.pspl.com/virus_info/win32/kittykata.htm
http://www.symantec.com/security_response/writeup.jsp?docid=2006-050815-4405-99&tabid=2