First check if Dynamic compression is enabled:
Open C:\Windows\System32\inetsrv\config\administration.config with notepad and change the httpCompression tag:
For IIS 7, also change the urlCompression tag:
If the dynamic compression is still not working, verify there is no ISA server between the server and the client, if so follow the steps on http://forums.iis.net/t/1168067.aspx
To check if the ISA server is the problem just open a browser on the server en connect to the localhost url, check with fiddler if the dynamic compression works.