There is a library for Silverlight called Xceed, which, among other things, "Allows you to compress data as it loads." However, this is not free. I believe that this can only be done using technologies such as Flash or Silverlight, and not initially in the browser.
I do not agree with the aforementioned poster that browsers do this automatically, and I believe that this happens only with standard HTML / CSS / Text files, and only if the server and browser have compression (gzip, deflate).
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