I don't advise you use Linux unless you know what you're doing. Even though the interface is more user friendly now than it's ever been, it's still a long way from the comfort of Windows. It's great whilst you use applications with an installer, it's not quite so great when you're told you need to compile it first
It sounds as though you want to reinstall Windows and a few applications for music recording. First, back up anything you want to keep to a CD or other device before proceeding as you may lose all your data.
Next, try booting from the recovery CD. You may need to enter the BIOS to change your first boot device to the CD-ROM first - if so, you'll probably need to hit either F2, F8 or Del to enter setup. If you're lucky it will tell you on screen as soon as you boot up, if you're not so lucky, you'll have to try each key blindly. Once there, look for boot devices and set your CD-ROM as the primary boot device. Save the configuration and exit the BIOS. Now with your recovery CD in the drive, reboot your machine and pray that it comes up with something like a system restore program.
If it does, you may be able to restore your machine to factory settings - that means it will go back to the way it was when you bought it, quite possibly without any of your documents or applications. That is why you need to back up anything you want first.
If all goes well, you can simply download Audacity and suchlike on another machine, burn it to a CD and install it on your old PC. You do not need the Internet.
However, if your recovery CD is non-bootable then let us know and we will try and find out how to do a system restore on a Compaq using that disc.