with a compressor, the best advice i can give is think about what you are using it for, and what you want to achieve. spend some time learning what the different knobs do, and remember that and you'll get the results you want.
Every mix and instrument is different. You don't have to put a compressor on everything just for the sake of having one there, if it isn't helping the mix in any way there's no point. So it pretty much depends on what you want the compressor to do and what compressor(s) you're using (though most if not all compressors behave universally the same in regards of attack/release, threshold and ratio). There are a lot of topics concerning different use of comps, go sneap search -> "how do x compression? \__/" -> ??? -> PROFIT!!
compression is one of the hardest things in mixing to wrap your head around because it's not generally naturally occurring.
and in most cases compression isn't even "heard" by any normal person.
I've name dropped this book quite a few times on this forum: "Mixing Audio"
it comes with a DVD that has tons of different examples of your tools so that you can actually hear what each element does and easily compare the 2.
from there, you just have to use your head & your ears to decided where, when & how much for any given element.