Existe uma boa ferramenta gratuita para o Internet Explorer, que pode ser usada para verificar se as respostas http do seu servidor estão compactadas:
Fiddler is a Web Debugging Proxy which logs all HTTP(S) traffic between your computer and the Internet. Fiddler allows you to inspect all HTTP(S) traffic, set breakpoints, and "fiddle" with incoming or outgoing data. Fiddler includes a powerful event-based scripting subsystem, and can be extended using any .NET language.
Fiddler is freeware and can debug traffic from virtually any application, including Internet Explorer, Mozilla Firefox, Opera, and thousands more.
texto alternativo http://www.developer.com/img/2006/09/Fiddler3.jpg
Aqui está um bom tutorial: "O violinista pode tornar a depuração fácil."