In our appliation,we save some images in different folders like:
1
2
3
4
...
500
...
And inside each folder there are large amount of images whose size is (5kb-20kb).
Now we found that when we try to transfer these files,we have to compress them first using the winrar,however it cost toooooo much time!! Also two hours to compress one parent folder.
In fact the images in the application are map images like the google map tiles:
||

So I wonder if there is an good idea to save/transfer these small but large amount files?
Images like that are likely to already be compressed so you will get little gain in bandwidth use (and so transfer speed) from the compression step.
If the compression process is taking along time where your CPU is busy then try instead just creating a plain tar file (which joins all the files into one archive without applying any compression). I don't know about winrar but most other compression tools (like 7zip) can generate a tar file, so I'm guessing winrar can too.
If you regularly transfer the whole set of files but only small numbers are added/changed each time, you might want to look into other transfer methods like
rsync. You don't describe either of your environments so I can't tell if this is likely to be available to you, but if it is rsync does an excellent job of only transferring changes (speeding up the transfer significantly) and it also always uses one connection so you don't get hit by the per file latency of FTP and other protocols - one file follows the previous one down the same connection as if the parts being transferred had beentared together so you don't need that extra step to pack the files at one and (and unpack them at the other).