To check compression:
Disable spark and fuel
On a vehicle with a electric fuel pump pull the fuel pump relay, let engine idle until it stalls out. For mechanical fuel pump, I think using a vise grip and 2 thin blocks of wood (to avoid crimping the soft line) on the rubber fuel line will work. This prevents fire hazard.
Remove the coil wire, or ECM fuse or wiring harness clip off the coil for computerized engines,- by allowing the coils to be energized you could get a serious jolt!
Pull the spark plugs
Keep track where they came from and 'read' them while you're at it. Labeling your plug wires will help keep track of which cylinder they go to to assist in buttoning this all back together.
Have someone hold throttle open.
Pulling the plugs and open throttle will allow the the starter motor to crank the engine faster (less leak down) and the test cylinder to fill with air, produce a more accurate reading.
Hook up compression tester
The compression tester fitting threads into the spark plug hole, and many models also have a vacuum gauge function as well.
Crank the engine over for 10 seconds, and record maximum pressure reading. Record your findings.
Move onto the next cylinder, repeat the compression test, and when you're done they should not be more than 10% off from each other, and none should be really low (0). If they are, you have some problems.