Microsoft XP File compresion overview notes that "You cannot encrypt an NTFS-compressed file." So it appears that there's no risk of confusion as to which of those colors will be used. Note that using the NTFS file encryption feature may require a Professional version of Microsoft Windows, so that may or may not be an option depending on what flavor of Microsoft Windows you are using.
If you encrypt a file, then Explorer will render it green. If you compress a file, using the NTFS file compression feature (not the support for Zip files), then Explorer will render it was blue, instead of the normal Black color. This approach may be limited to just files, not folders, but it can be done using just the software built into a Windows operating system.
Not usually my priority, but just in case this actually happens to be your priority, then my answer is that yes, something like this is technically feasible. The ways I have in mind is to alter how data gets stored, just for color effect. Without using third party software, in fact. If you want to make some files look different than other files, perhaps for a presentation of some sort, and you don't care about how the data of those files are stored on disk, then, well, this is possible. I'm not saying that it's a sensible way, and not very customizable, but there is a way to get Explorer to show some color on specific files. this answer utilizes such a distasteful approach.