I think that .Net was supposed to support something they called an "assembly", although I last worked with .Net - and windows-native apps - in 2007. On WinCE.
C# is typically going to produce straight executables or DLLs. For complex apps, you'd generally deploy them with the Windows Installer, and for all I know they keep their assorted components in a ZIP file, although the installer then deploys them all over the filesystem (potentially).
The popularity of the JAR/WAR/CAR/EAR... (ZIP-based) format for deployables in Java is because Java runs in a Java Virtual Machine and the ZIP format allows the entire set of code and resources to be dumped in as a monolithic
unit. C#, on the other hand, deploys straight to the OS (Windows), and complex C# apps can result in files being splattered all over the filesystem. So they're not really equivalent.