Drag-and-drop your .bsp on the bzip2 executable (this will delete the .bsp, so better use a copy).
If it doesn't work, here's the longer way:
1. Put the bzip2.exe on your desktop.
2. Put a copy of your MyMap.bsp file on your desktop.
3. Go to start menu => run, type "cd Desktop" (no quotes), and then type "bzip2 MyMap.bsp" (still no quotes).