However this is done at the server level. Basically, you'll need to recommend to the browser to cache certain files types for a specific amount of time. Google PageSpeed suggests at least ONE MONTH. To do this, you will need to edit the .htaccess file to the following. The max age value is 1 month in seconds.
You'll be familiar with the persistantly red, top warning of 'Leverage browser caching' ('Add Expires Headers' with Yslow), This can be quite simple to fix by adding the following lines at the bottom of your .htaccess file.
Header unset ETag
Header unset Last-Modified
Header unset Cache-control
Header set Expires "access plus 1 month"
Other values you might want to consider:
Header set Cache-Control "max-age=29030400, public"
Header set Cache-Control "max-age=604800, public"
You might also choose to cache less or more file types, but the above are the most common static files which can and should be cached.