first, don't think you need to compress everything all the time, because you definitely do not.
next figure out what you want to do with the signal you have. does it need more attack, less attack, does it need to be thicker, is one area just sticking out to much. There are ways to use it like an eq (especially with multiband units) or ways to enhance or tame the transient response.
the basic functions are attack, release, threshold, and ratio. some compressors these things are fixed and its adjustment is based on input level, so it really matters to know how things work a little.
attack is the speed at which you want the signal to be engaged; the faster the attack will engage the beginning of a transient and the slower the attack allows more of the signal to go through before its engaged. with different types of compressors this varies and why people say that an 1176 is faster than a LA2A for instance.
the release is how long it holds on to the engaged signal before letting go. this is easy to see with meters - when a signal has a short release its bouncing from signal to signal because its letting go and then engaging and letting go... when there is a long release you can see the meter stay in reduction and slowly and if there is a lot of signals engaged and the release is too long it will stay engaged.
The threshold is the point where the compressor will engage the signal. so if the compressor has a threshold you are able to adjust that according to the signal, whether you want to just hit the very peak of a signal or you want to engage the signal at a low point.
The ratio is the hardest concept of compression to understand and when you get to higher levels of ratio over 10:1 it is generally considered limiting. the ratio and threshold combination is basically what controls the amount of gain reduction. the ratio how you set the signal to compress once it hits the threshold. a 4:1 ratio means that once the signal level goes 4dB over the threshold, the output level is 1 dB over the threshold; essentially 3dB of gain reduction.
Its harder to explain than understand... I'm sure other will chime in here or move this to a separate topic and focus all your questions about compression there. there are other things to know, because not all compressors work the same, there is also key filters or sidechaining etc...