With Windows Azure CDN you must pass the QueryString parameter containing a compressible filename type (.js, .cs etc) or you are requesting a file by its original name (jquery.js, site.css, etc.) otherwise Accept-Encoding HTTP header will not be passed. For example when using an AXD resource handler (WebResource.axd, etc.) only, the HTTP compression will not be performed because unless append a QueryString parameter with a .cs or .js extension. If you are using custom AXD resource handler, then you can just applied &group=core.js and &group=core.css in your combined minified resources and the compression worked as expected.
Once the Azure CDN verify that it has.js in the querystring, it will return the compressed version of the resource.Resource: http://stackoverflow.com/questions/10420004/azure-cdn-enabling-http-compression-hosted-web-role/10434390#10434390
Keywords: Windows Azure, CDN, AXD, Resource
I am currently facing this problem. How did you manage to modify the url ?