You might have seen suggestion of enabling compression to speed up page load speed of WordPress website.There are a couple ways you can fix this warning. The first, and one of the easiest is by using a caching plugin that supports enabling Gzip. You can just install WordPress caching plugin like W3 Total Cache or specific compression plugin like GZip Ninja Speed Compression and enable HTTP (gzip) compression. As an alternate way, you can enable Gzip compression by editing .htaccess file.
<IfModule mod_deflate.c> # Compress HTML, CSS, JavaScript, Text, XML and fonts AddOutputFilterByType DEFLATE application/javascript AddOutputFilterByType DEFLATE application/rss+xml AddOutputFilterByType DEFLATE application/vnd.ms-fontobject AddOutputFilterByType DEFLATE application/x-font AddOutputFilterByType DEFLATE application/x-font-opentype AddOutputFilterByType DEFLATE application/x-font-otf AddOutputFilterByType DEFLATE application/x-font-truetype AddOutputFilterByType DEFLATE application/x-font-ttf AddOutputFilterByType DEFLATE application/x-javascript AddOutputFilterByType DEFLATE application/xhtml+xml AddOutputFilterByType DEFLATE application/xml AddOutputFilterByType DEFLATE font/opentype AddOutputFilterByType DEFLATE font/otf AddOutputFilterByType DEFLATE font/ttf AddOutputFilterByType DEFLATE image/svg+xml AddOutputFilterByType DEFLATE image/x-icon AddOutputFilterByType DEFLATE text/css AddOutputFilterByType DEFLATE text/html AddOutputFilterByType DEFLATE text/javascript AddOutputFilterByType DEFLATE text/plain AddOutputFilterByType DEFLATE text/xml # Removing browser bugs for older browsers BrowserMatch ^Mozilla/4 gzip-only-text/html BrowserMatch ^Mozilla/4\.0[678] no-gzip BrowserMatch \bMSIE !no-gzip !gzip-only-text/html Header append Vary User-Agent </IfModule>