For Apache, in httpd.conf, look for this line:

AddEncoding x-gzip gz tgz

It's usually on by default, but if it isn't, you can add/uncomment it within <IfModule mod_mime.c> so it reads like this:

<IfModule mod_mime.c>

AddEncoding x-compress Z
AddEncoding x-gzip gz tgz

If you don't have that module loaded (mod_mime.c) then it won't do you any good, so check the Modules section to ensire it's being loaded.