HI,
If you mean apache mod_gzip then first visit the page with some instructions: http://schroepl.net/projekte/mod_gzip/
After this you can download sources from: http://sourceforge.net/project/showfiles.php?group_id=54975 and follow readme instructions.
Usually people enabling mod_zip as shared module by editing httpd.conf (apache.conf) and putting there in LoadModule family the folowing line:
LoadModule gzip_module /path/to/your/mod_gzip.so
that i think is ok.
Check it and let me know any issue
Good luck!
Or just go to WHM >> Apache Update >> Load Previous config (if any) then check "Gzip Module (experimental) (Version 1.3.26.1a)"
Works very well on all my servers