The basic rule of thumb with EFS is don't mess with it.
I'm not aware of a program that can easily break EFS-based file encryption, so if you encrypt something and lose the recovery keys, you're SOL.
EFS is a feature of NTFS.
A file can't be encrypted and compressed using NTFS builtin compression simultaneously.
You can make a folder (generally a better idea than a single file) encrypted by using the Advanced button on the "General" properties sheet for that file/folder.
Doing so puts the folder/file in a state where it can only be read by the user who encrypted the file, and by designated Key Recovery Agents. Under XP and 2003 Server you can also click the "details" button to pass the recovery key on to other users.
By default, the designated Key Recovery Agent is the Local Administrator account (for standalone PCs) or the Domain Administrator account (for PCs belonging to a domain; note that this isn't the "domain admins" local group). This key is tagged to that, specific account. If you encrypt a file in one domain and your computer moves to another, the new domain admin won't have your old EFS key.
By the same token, and this is where idiots get in trouble, if you encrypt something and then reload windows on your standalone windows PC, unless you backed your key up on removable media, you've just lost the ability to view your encrypted files. Whoops.
To back up an EFS key, log in or runas as Administrator (literal "administrator") and run secpol.msc (or go to administrative tools and do "Local Security Policies"), or dompol.msc (admin tools: domain security policies).
Expand Public Key Policies and then Encrypted Data blahblah.
You'll see all the EFS keys that have been generated on your PC/domain. Right click, choose "All Tasks > Export" to save the key elsewhere. There are a couple different Key formats, but the default is x.509. Click next a few more times and your key will be backed up to a file. You may at that point delete your stored key if you want.
To restore a key, log in as Administrator or whoever your Key Recovery Agent is, and double-click on the .PFX file from your backed-up key. This will start a key import wizard that will ultimately allow you to open someone else's encrypted file.