When installing the SQL Server on a compressed drive, the installation fails. If a user installs it on a normal drive and then after installation decides to compress the drive, all restore database operations fail.
The SQL Server has its own compression methods. This is one of the reasons why it cannot be on a compressed drive.
SQL Server databases are not supported on compressed volumes. Hence, you must not install them on compressed drives. For more information, read http://support.microsoft.com/kb/231347.