I think you may be talking about compacting the registry (not compressing). The registry is constantly growing as new software is installed and additional entries made for all sorts of other reasons. Compacting the registry tidies it up, removing outdated clutter and tidying it up whic can reduce its size a little and also speed up access. Neither improvement is likely to make any difference observable to the human eye but I generally do some tidying up now and again if only for the sake of that - keeping things tidy. You can to the job using Ccleaner, a well established program free from here:
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It's also good for removing unused temporary files etc (which can save you masses of disk space).
You should always...