Exposure compensation is a basic brightness of your image, it does same thing as changing shutter, ISO or F/stop values in Vray. It is temporary solution, and it works similar to simple exposure compensation function found for example in digital cameras or cell phone cameras. You can go in both positive and negative direction, so to get a good brightness in strong exterior daylight, you might need to set Exposure compensation to somewhere like -1 to -2.
Highlight compression is similar to Reinhard tone mapping in Vray, with only difference that it goes in opposite direction. Increasing HL compression value will reduce burn areas on your image, while in Vray, reducing burn value in reinhard does the same thing. So you just keep increasing this value until you reduce highlight burn as much as you desire. Sometimes you might need to go really high, for example up to 50 :)