If you have Vista business or ultimate, you may already have downgrade rights. You can just order an XP CD from HP (if they still sell them that is). Otherwise you can borrow any XP CD from anyone and install XP with it with any working key. At the time of activation you have to
call a Microsoft representative and tell them that you're downgrading, then give them your Vista key (you can't type in the Vista key into XP obviously).
More details on the process here:
If you have Vista home, then you have no choice but to go and buy a retail version of XP.
Then you have to hunt for XP drivers for your compaq on the net.