WebResource.axd is not a real file. It is used in ASP.Net 2.0 to deliver client-side Javascript through an Http Handler. You won't ever see the file on the server.
You can see if it is working correctly by going to the page source and coping that url, then pasting it into the url of a new browser window.
If you get a file back with javascript in it then it is working. If you don't, then something is stopping it from being delivered.
In the case of the other 3rd party compression tool it probably needs to be configured to ignore and not compress the request for that "file".