This is the third part of the article Speeding Up your Web Site. The method is really easy to configure and will drastically increase the speed of your web page. I found this optimizing tip at askapache.com:

A first-time visitor to your page will make several HTTP requests to download all your sites files, but using the Expires header you make those files cacheable. This avoids unnecessary HTTP requests on subsequent page views.

Just put the following lines in your .htaccess file:

<FilesMatch "\.(ico|pdf|flv|jpg|jpeg|png|gif|js|css|swf)$">
Header set Expires "Thu, 15 Apr 2010 20:00:00 GMT"
</FilesMatch>

Store the .htaccess file in the directory from where you want to start adding the far future header, so if you store this in the root all the files on your server with the extensions above will get a far future expires header.