Here are some nice step by step directions for getting HTTP Compression setup in IIS6.

They also link to a nice site that will do a compression test for you on the public side.

I was trying to test stuff that wasn’t public, so I figured out how to test this with Fiddler.

Once you start a trace with fiddler, if you select a session, they will check a box next to the type of compression None/GZIP/Deflate, which was used.