Typically, if you want to work with a format that mIRC doesn't natively support, you need to either write it to binary and save it and then run another program to handle the decrompression or else write/use some form of DLL that will do the work for you. mIRC can't support everything out there.
That said, gzip *is* a very common format and would probably be worthwhile to include.
I may be wrong, but I think you can usually just not include gzip in the accept sockwrite and most sites will send it as text instead of gzip so that you don't need to worry about decompressing anything. Might be slightly slower getting the data, but shouldn't be too noticeable if you're just socketing a page and not a large file.
