you can think of sound as being 3 dimensional, the dimensions being amplitude, pitch, and time.

compression is a cousin of eq. eq controls amplitude in the pitch domain (ie, you tell it which frequencies to boost or cut). compression controls amplitude in the time domain (ie, you use the attack and release controls to tell it when to make the material loud or quiet.)

listening for compression effects is a lot different than other kinds of critical listening, and takes time to learn. just go ahead and start experimenting with both solo instruments and mixes until you get a feel for how the various nobs affect the sound. it gets easier as you go.