you could use a htaccess file and use something like this:
This sets the expiry date of all the above file types to way in the future.
Because images dont change often then its safe to set to a year in the future.
CSS and JavaScript files on the other hand may change in a months time so best thing to do is add a version number to the URL of the style sheet so that when u change version number the browser sees it as a new file and caches the new file.
e.g.
http://somehost/style/mystylesheet.css?v=1.0