Of course, but it's C, not C++: http://www.gnu.org/software/gzip/
Nevertheless, you can compile this code in a C++ project. Unfortunately, there are no MSBuild project files, you have to make one by yourself.
However, GZIP implementation is included in boost, which is a C++ set of libraries. Please see:
A almost forgot! There is another open-source product which supports GZIP immediately, written in C++. This is the famous 7-zip:
Chances are, you can even use it as is. Of course, it can be run in console-only form. I would prefer 7-zip to anything else.