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To enable Gzip, go to admin>system>preferences>and check yes for gzip compression.
Enable the cache wherever it's possible.
For forums, you can choose a 30s cache, but it could cause some problems to your users posting again because they don't see their post instantly.
If you can enable MySQL cache system it can increase a lot your site speed.
If nothing works, then I guess your hosting is a bit to limited for your needs and you'll have to think about upgrade to a bigger system.
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edit if the site in question is the one you give in your signature, it seems apache is not configured to keep alive connections, so each requests (to get images, flash,...) makes a new connection then closes and again to get all the page content. The problem is here for you.