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Ollydbg talks about compressed/packed data although I have unpacked it. So, how that can be?

Ollydbg is wrong and flat out doesn't work for a lot of things! Messages it gives should be taken with a grain of salt. It's likely that when you unpacked the binary you provided a bad entry point or included the junk encrypted data with it that is no longer used.

Because I dont know how to change the EIP

Right click EIP in the register portion of Olly's CPU window.

I try it with exception passing

EIP is the instruction pointer, if it is trying to execute the memory at address 0, your program will definitely fail to run correctly. It's likely you set the entry point when unpacking to be zero, which is absolutely wrong.