I have recently analysed my website with pagespeed addon on firebug. It suggested me to set expiration on CSS, JS and image files.
I am wondering, how do I do this?
This is the one I use to fix the exact same thing when I ran the PageSpeed Addon:
Header set Cache-Control "max-age=604800, public"
This goes into your .htaccess file.
Read up on this page for more information about how to set cache for additional file types and/or change the cache length:
http://www.askapache.com/htaccess/apache-speed-cache-control.html