The front suspension of the 96 XR 250 only has compression damping adjustment, it is hidden at the bottom of the fork leg underneath little rubber plates within the hex style bolt head.
Always be sure to bleed the air out of the forks before every ride, as it can cause a lot of harshness when riding.
The rear suspension of the 95 XR 250 has both compression and rebound adjustment, as well as a preload adjustment.