So GZip is actually a data format and multiple files can be compressed into a single archive. You can open a file written to by the GZipStream using a GZip decompression utility such as WinRAR on Windows, gunzip on Linux, etc.
Sample example code can be found at MSDN. There is also a sample solution that allows working with multiple files using GZip compression. Both these classes only support max 4GB as the stream length.