<p>As prescribed by Yahoo!, gzip'ng files would make your websites load faster. The problem? I don't know how :p</p>

http://www.webcodingtech.com/php/gzip-compression.php
Or if you have Apache, try
http://www.askapache.com/htaccess/apache-speed-compression.html
Some hosting services have an option in the control panel.  It's not always possible, though, so if you're having difficulty, post back with more details about your platform.