When I go to disk clean-up in windows it want's to compress the files, if I compress does it affect the music quality or Phatnoise accessing the files?
When XP (I assume you are using XP) compresses files this way, it does lossless compression. You won't lose any quality, but it also won't really compress the files much (if any). Remember, MP3/AAC/etc. is already compressed audio. Add an MP3 to a ZIP file, and you will see that there is very little space to be gained.
Hard drives are dirt cheap - if you are running out of space, add a disk.