You need to go into your Device menu and then VST Connections. Add a Stereo Bus on the outputs, and set it as outputs 1/2 or 3/4, etc. whichever one you aren't using for monitors. When you do that, then go to the track that you want to send out to a compressor and set it's output to 1, 2, 3 or 4, or whatever you have made. Then you will find that suddenly you cannot hear that track anymore. Connect the output you have designated to the compressor input, and plug the compressor's output to an input on the Saffire. Make a track in Cubase with that input then set it's output to the same as all the other tracks, and when you hit play you should start hearing the audio again from that track, but now it's coming from the compressor.
I use a Saffire Pro and Cubase 4 myself, btw.
~006