SQL Server: Compress SQL Server Backups using Native Windows Tool
SQL Server 2008 has backup compression built-in, but for SQL Server 2005 and below, you can compress backups using makecab from the command line or xp_cmdshell. Makecab even has a better compression ratio than gzip and does not require additional software to be installed on the server.
makecab D:\backups\dbname.bak D:\backups\dbname.cab