Well I know of two ways of compressing a wordpress site that works ( I am assuming you are talking about a wordpress site, coz you haven't mentioned a site-link ). And I am also assuming that you are not a complete newbie and is aware of the terms i will use below.
1. You can hard-code the below given code to your .htaccess file to employ a simple g-zip compression.
# BEGIN GZIP
# END GZIP
2. You can use a caching plugin like this, works pretty well in my opinion. The advantage of using a caching plugin will be that it will give several other parameters apart from g-zip which may help you optimize it further and will help your site run faster.
There is a nice, simple and detailed tutorial on this particular plugin...