Get
the FMR Audio RNC 1773 (stands for Really Nice Compressor). It costs less than $200 and it gets RAVE reviews from REAL audio professionals, It is often compared to compressors that cost over $1000.
Do a search and read some of the reviews yourself, but there are some on their site
http://www.fmraudio.com/reviews.html
Normally you use a compressor through a mixing boards 'channel insert', It's a send and return on one TRS 1/4 jack.
Usually for Vocals you dont want to hear the compressor working, unless you want to use it as a special effect on hard rock vocals or something, so you would usually use it set to 'soft knee' or 'overeasy' with a moderate ratio of maybe 4:1 or so.
For Percussive or aggressive sounds you can use hard knee.
On drums sometimes you want to hear the compressor, especially on snare, so you can feel free to use extreme settings.
These aren't rules, just guidelines, and even if they were, Rules are made to be broken, so go with whatever sounds good.