Sinku, You have to differentiate between the two types of compression.
File Compression, say from a wav file to an MP3 format is one kind of compression, where it saves/converts your whole audio track and squeezes it down into a smaller package, albeit making compromises on quality along the way. (MP3 is NOT CD compatible in terms of audio quality).
The other kind of compression (audio compression) is where you reduce the peaks of loudness leaving the quieter passages as they are.
As AlChuck says, Sonar comes equiped with tools for audio compression. And wav to MP3 can be done inside Sonar for an additional $30 or saved to a wav file and converted for free using a freeware conversion package.
Again, as AlChuck says, there are many articles on the web that explains the technical details of compression, the ProRec site has some good ones. It does need some understanding as it can be very complex but it is a fundamental for recording techniques.
Hope this helps.