Here's the command line options to set it all up:
ADSUtil.vbs Set W3SVC/Filters/Compression/Parameters/HcDoStaticCompression TRUE
ADSUtil.vbs Set W3SVC/Filters/Compression/Parameters/HcDoOnDemandCompression TRUE
ADSUtil.vbs Set W3SVC/Filters/Compression/Parameters/HcDoDynamicCompression TRUE
ADSUtil.vbs Set W3SVC/Filters/Compression/deflate/HcDoStaticCompression TRUE
ADSUtil.vbs Set W3SVC/Filters/Compression/deflate/HcDoOnDemandCompression TRUE
ADSUtil.vbs Set W3SVC/Filters/Compression/deflate/HcDoDynamicCompression TRUE
ADSUtil.vbs Set W3SVC/Filters/Compression/deflate/HcFileExtensions "asx" "css" "doc" "htm" "html" "js" "txt" "xml"
ADSUtil.vbs Set W3SVC/Filters/Compression/deflate/HcScriptFileExtensions "asp" "ashx" "asmx" "aspx" "axd" "dll" "exe" "svc"
ADSUtil.vbs Set W3SVC/Filters/Compression/deflate/HcOnDemandCompLevel 10
ADSUtil.vbs Set W3SVC/Filters/Compression/deflate/HcDynamicCompressionLevel 9
ADSUtil.vbs Set W3SVC/Filters/Compression/gzip/HcDoStaticCompression TRUE
ADSUtil.vbs Set W3SVC/Filters/Compression/gzip/HcDoOnDemandCompression TRUE
ADSUtil.vbs Set W3SVC/Filters/Compression/gzip/HcDoDynamicCompression TRUE
ADSUtil.vbs Set W3SVC/Filters/Compression/gzip/HcFileExtensions "asx" "css" "doc" "htm" "html" "js" "txt" "xml"
ADSUtil.vbs Set W3SVC/Filters/Compression/gzip/HcScriptFileExtensions "asp" "ashx" "asmx" "aspx" "axd" "dll" "exe" "svc"
ADSUtil.vbs Set W3SVC/Filters/Compression/gzip/HcOnDemandCompLevel 10
ADSUtil.vbs Set W3SVC/Filters/Compression/gzip/HcDynamicCompressionLevel 9
IIS Reset, clear your cache, open Fiddler, open IE, make a request and voila, compressed content! One thing to note that on the dynamic level compression happens with each request. The blogosphere statea that the trade-off between levels 9 and 10 for dynamic compression is such that you will want to consider 9 because it takes exponentially less CPU versus the benefit.
Here's the most concise method of getting compression working on IIS 6 that I've found, the above was taken from a comment by Colin Bowern on http://www.codinghorror.com/blog/2004/08/http-compression-and-iis-6-0.html