on two different compaq model laptops, i have experienced what you are reporting - lockups, and worse case, just plain shutdown.
it has happened to me using gentoo, suse 8.2 & 9.0, redhat 9.0, and mandrake 9.0.
the common denominator, as someone had mentioned earlier, was the acpi support. namely, i had to grab a DSDT configuration specific to my system and patch the kernel with the latest stable acpi patch (i say stable, because one time, going to the next newest patch actually broke things - so i back rev'd. then when another patch was released i used that, and it worked great). since about september onwards, each acpi patch has improved the support on my laptops.)
also, one other thing to check is apic/no apic. not to be confused with acpi.
here are some links that might help regarding your laptop (the reason your fan is running continuously is because of something in the acpi. the acpi monitors thermal levels and such and is responsible for adjusting fan speed. if acpi support is not there, then there is no mechanism to control the fan. also, if your laptop is relatively new, post 2001, it will have no apm support whatsoever.)
acpi dsdt:
http://www.cpqlinux.com/acpi-howto.html
http://acpi.sourceforge.net/wiki/index. ... rrideTable
http://www.intel.com/technology/IAPC/acpi/faq.htm#linux
http://www.intel.com/technology/iapc/ac ... erride.htm
http://acpi.sourceforge.net/dsdt/index.php
acpi patch:
http://acpi.sourceforge.net/download.html