Well since you are using DirectCD to access your CD-R/W as a regular device, any compression program that is capable of spanning should work. Some of the programs have logic to only span when drives A: or B: is selected, obviously WinRAR has bypassed that limitation, so look around for free compressors that are also capable of spanning and see if they will allow you to do it regardless of the device chosen..
I know for a fact WinZIP won't work here. Perhaps PowerZIP? Regards