The Compaq CDs I've used required me to use one of the Restore CDs first, then insert the Windows CD, then the rest of the Restore CDs. Just sticking in the Windows CD didn't work. The Windows install should re-format the drive for you.
So, yeah, just figure out which order to use the CDs in, and follow the instructions on the screen. As long as you copy your docs/pics/vids/etc to an external hard drive, or flash drive or something, you aren't likely to mess anything up.
The hard part is going to be other programs (besides the OS) you've had installed for years, but no longer have install disks for. Thought of that?