Neither Explorer nor the Compact command will allow you to compress an object. You receive and error message, The file system does not support compression.
The likely cause is that the partition is very large and was formatted with a cluster size greater than 4,096 bytes. The maximum cluster size allowed for compression is 4,096 bytes.
To check the allocation unit, run CHKDSK <Drive:> or NTFSinfo <Drive>.
You can backup or move your data and reformat with:
Format <Drive:> /FS:NTFS /A:4096 \[/V:Label\]
NTFS compression must process 16 clusters at a time. In Windows NT, the largest paging write is 64KB.
64KB / 16 clusters = 4KB per cluster.