Using gzipped javascript files

Hello,

I've read in numerous web sites that I should be able to gzip my javascript
files in order to reduce the amount of data transfer required to get them
from my web server (running IIS6 in Windows Server 2003) to my web browser.

Despite trying all sorts of things, I've been unable to get this to work.
Could someone help point me in the right direction?

I have taken my original javascript source file (mycode.js) and gzipped it
to produce mycode.js.gz. I then change the script tag in my HTML page from: