1) The PSU in the Compaq may not be compatible with a new setup. 480W native ATX2.0 24-pin PSUs are what DFI recommends for their popular nForce4 models. I sort of doubt you'll find an off-the-shelf Compaq sporting that level of PSU, so plan for a new case & PSU. Antec SLK3000-B + a quality ~500W ATX2.0 PSU would be a safe bet.
2) If you're using the OEM Windows license that came with the Compaq, then expect it to freak out at the sight of a different motherboard. It's probably SLP-locked to that particular motherboard model, and even if it isn't, the OEM license isn't legit for the new build. At this point, I'd suggest sticking to retail-boxed full versions of WinXP (which you can sell off), rather than a one-use throwaway OEM license. Or hold out for Vista and buy it retail-boxed, so you can use it again and again as you upgrade from one platform to the next, over Vista's 10-year lifespan.
3) plus what bunnyfubbles said, look at your parts compatibility closely.