I have downloaded Cygwin and the package to zip files (bzip2) but I cant figure out how to use its command to simply zip a file to another location.
All I want to do is something like:
bzip2 myfile somelocation
You want to use:
bzip2 --keep [file to zip] > [Destination]
Omit brackets when filling in the details.
So, for your example, you would want to say:
bzip2 --keep myfile > somelocation
bzip2 writes to standard output, so you just need to use basic shell tools to direct or pipe this output to your destination. Your destination will be a file, not a folder, so if you want the compressed file to go inside a folder called somelocation, you would want to say something like
bzip2 --keep myfile > somelocation/myfile.bz2
The --keep parameter tells bzip2 not to delete your original file. If you do want to delete it, omit this parameter.
I tested this with my own installation of Cygwin on Windows 8.1.