Any player owned structure that allows you to reprocess also allows you to compress. Put your ore on your hanger floor (ie not in a container) and right click. The option to compress should be available. Note that ore can only be compressed in multiples of 100, so any units of ore you have that are not a multiple of that will not be compressed.
Player owned structures are any that appear in the right click menu in space under the “Structures” category. You can get info, and if the services tab lists “Reprocessing” and “Docking” (so that you can get into it to do your thing), then you are in the clear. Compression is not able to be taxed, so it won’t even cost you a thing, though some folk like to toss the station owner some isk to offset the fuel cost. What you do is up to you, though.