this does sound odd... :/
when you put the disc in, is this with say, XP or Vista already running or booting from the disc just after the initial BIOS screen? If you are able to, I would recommend that you copy the install disc contents onto a memory stick (4GB+ as disc contents is about 2.5 (off the top of my head)). I know forums like this don't like 'dodgy ideas' such as this due to legalities, but given that Microsoft even offer a flash drive boot support tool, i'd say this is legal.
Anyway, if you do copy it all onto a flash drive, you have two options (my install disc kept freezing so I had to use the USB method). You can either boot the memory stick directly from the BIOS if this computer is relatively new (it will be one of the BIOS boot options).
Alternatively, if you have XP (I think it's SP2 and above that work with this) or Vista already installed on the machine, then you can just run the setup file that would now be on your memory stick (I write all this on the premise that you would copy the files onto it from the disc with another computer).
From your user profile, it says Vista, but i'm not sure if that is on the compaq you are having issues with..
Hope I helped, I'm afraid I do end up rambling on all the time :/