I'm having to assume that the F2 key you refer to is the way to switch on wireless according to the Compaq manual. If not there may be a small switch on the side or front edge of the case (if it's a laptop?).
Or do you have to press an extra key (sometimes marked Fn) in addition to the F2 key ? Check the manual.
Otherwise (and I'm having to guess you use Windows XP) Go into Windows, Start, Control Panel, System, Hardware, Device Manager and check the list of hardware to see if wireless networking adapter is active.
If there is a Yellow mark against it, there's a problem and you may need to install a new driver (from the Compaq website).