Well, you've got your terms KINDA' messed up, but not totally. MP3 conversions use a type of audio compression, but that's a totally different deal than "compression" in the recording context. Compression on a vocal is what Fatt described, and I usually compress the vocal track before I do anything else to it (as a .wav file, just like all the audio tracks I work with in CEP).
The reason I think compressing first is a good idea is because if you EQ before you compress, the compression is going to undo a lot of whatever you EQ'd. Some people like to EQ first, which is probably correct, lol. NOBODY should add FX before you compress, because if you do, you're going to turn your light, tasteful reverb into some kind of missile silo/empty barn sound, and the sibilance will suck, and about a billion other reasons.
To do it, btw...just leave the file as it is (which SHOULD be a 32 bit .wav file in the multitrack or edit session)...then do "EFFECTS-->AMPLITUDE-->DYNAMIC PROCESSING" and try a few of the presets out to get started. I won't recommend any settings now, b/c I'm in the midst of a recording awakening that is changing some of my tried and true methods, lol.
Good luck man.