for a new processor you will need a new motherboard.
if you knaow enough about putting one together your self, then but a processor / MB and memory to match.
buy a video card, sound card, and network card, and re-use your old floppy, HD, CDROM, mouse, keyboard, moniter.
you will have to reformat your HD (best to do when re-loading an OS). because you have to relaod the OS for the new processor / MD and stuff.
if you have a compaq right now you probably dont have an actual OS disk, just their carppy "recovery" propritary disk which you will NOT be able to use with different hardware.
newegg.com has XPhome for $94 full version.
good luck