Are you talking about the data-stream you send back to the client? If so, this is normally the business of IIS and not something you'd control in ASP (and I don't think you have any control of it over ASP anyway). This can be done at the command line as:
cscript.exe adsutil.vbs set W3svc/Filters/Compression/GZIP/HcScriptFileExtensions "asp"
cscript.exe adsutil.vbs set W3svc/Filters/Compression/GZIP/HcFileExtensions "css" "js" "html"
You may then need to restart IIS for the changes to take effect, so from command line:
iisreset
This MSDN article goes into all the details further.
If you're wanting to gzip and gunzip files that you subsequently work with in ASP, then you'll need an appropriate gzip library. There's a few articles out on t'interwebs for this suggesting libraries, techniques, etc.