use Compress::Zlib;
use LWP::UserAgent;
use HTTP::Request;

use strict;
....etc.

my $ua = new LWP::UserAgent;
$ua->proxy('http', 'http://some.proxy.com:8000/');
my $file = "somefile.Z";
my $page="http://somehost.com/$file";
my $request = new HTTP::Request("GET", $page);
my $response = $ua->request($request);
   if($response->is_success && $response->header('Content-Encoding') =~ /compress/){
       $stuff = Compress::Zlib::uncompress($response->content_ref);
    }
play with data...