its okay and very normal to spray the engine compartment... alot of people have already stated how they do it, but i'll add what i haven't seen yet:

- make sure the engine is NOT hot. warm is ok. cool is best tho.
- if you want to be sure, use aluminum foil and wrap the electonic boxes. alum foil will not let the water through to the electronics underneath
- if you have a pressure washer, make sure its not set to strip anything... safest bet is if you can spray your hand without hurting it, you can spray the car at that power level... too strong and it will damage paint, knock loose connections, etc...