Changing the extension shouldn't have any effect and the odds of a system problem that happens to be corrected with a windows update at the very time you encounter it are likely astronomical.
As I said, it is likely the location of the file, more precisely the intended location of the zip that is the problem; you either don't have authorization to write to there (most likely reason) or the file is in use (it's possible, try rebooting and see if the problem persists) or there isn't enough HD space (highly improbable).
So, as I mentioned above, either direct the zip output to another location, like your documents folder, or copy the dmp file to the documents folder and try zipping it there.