Looking at the connectionstrings.com here for SQL Server 2008, the database providers do not have some kind of compression scheme...You may need to write a wrapper on a different port, that compresses the data, by using the front end, send the data across that port, from there, compress it, send it across to the remote endpoint, decompress it, and forward it on to the real tcp/ip port where the server is sitting on.
Usually SQL Server sits on port 1433...
Since a picture is worth a thousand words....
+--------+ +--------+
| CLIENT | | SERVER |
+--------+ +--------+
Port 1234 Port 1433 <+--+
| |
| |
+={Module}= <=> TX/RX <=> ={Module}= -+-----------+
The module will sit there on both ends compressing/decompressing...
To be quite honest, it sounds like there will be work involved as the Firewall's holes would have to be punctured to allow the compressed data in and out...throw in NAT/SNAT could make things complicated...
Have a look at this article that I wrote on Codeproject, that code acts as a traffic redirector and could easily be modified to use the compression/decompression scheme..
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