You'll obviously need a compression test kit, which can be found at Sears or your local Snap-On truck. The one pictured below was from Harbor Freight (my local Sears had none in stock), and I would not recommend it. So, consider the picture for reference only.
On a warm engine....
1) Pull all coil packs and plugs
2) Pull 15A fuel pump fuse (#28)
3) Ideally, you'd want to hook up your battery to an external charger so that it doesn't drain--which might affect your readings. It's not crucial IMO (I didn't use one and my readings seem fine). But if your readings seem to drop off a cliff like this: 180, 175, 170, 160....you might blame the battery and not your cylinders. Just depends on the condition of your battery I suppose.
4) Screw in the hose carefully, then connect to the gauge.
5) Start cranking. [For nDBW, hold the gas pedal to the floor while turning over for each cylinder. For DBW, you could pull the intake hose and prop the throttle plate open] I turned the engine over exactly 6 times per cylinder, as the reading had leveled off at that point. (The most important thing here is to treat all cylinders exactly the same. If you don't, then you may get inaccurate readings.) Repeat for all cylinders. That's it!
So what's a normal reading? Well, Bentley claims anywhere from 144-190psi is within spec. The more important, general rule of thumb is that all cylinders should be within 10% of each other.
On a '97, with 122K, the readings were: 168, 165, 175, and 172.
Oh, why don't I recommend the HF compression tester? It was just plain inaccurate. My initial readings with the HF gauge were: 147, 149, 137, 145. I went back with a Snap-On gauge and got consistently higher numbers.