These links might help get you started.
For IIS 6:
For IIS 7:
JR Dobbs seems to be on the case regarding your query, but to make one thing clear: CF doesn't communicate with the client agent at all. It communicates with the web server. How the HTTP response is handled (compression or not) is the business of the web server. CF knows nothing about how the web server and the client agent conduct their communication.
I have read the references and may now be confused, but it seems to me that just doing the standard IIS Manager setup, which is what I've done, will not compress CFM files since the only things that are compressed under dynamic files are exe, dll and asp.
One would think that CF should have added CFM to the list of compressed dynamic files when it was installed as it does with default.cfm, but maybe I'm expecting too much.
If I am correct about this, then it would seem that I'm going to have to customize the compression setup as described in this quote from the reference,
"Specify additional file types to compress. Edit the ... HcScriptFileExtensions metabase property (for dynamic files) to apply compression to additional file types."
Am I misunderstanding this document???