If you bought a new hard drive (meaning the internal hard disk), it won't have anything on it. If you just install it and try booting your computer, there won't be an operating system to load. The BIOS (the operating system built into the motherboard) is set up to try loading the operating from connected devices in a certain order. Usually it tries the optical drive first, then the hard drive, and finally it tries to boot over a network connection. The media test failure message means it tried that last resort and still didn't find an operating system, and it's telling you that maybe you have a bad network cable.
You'll need to reinstall your operating system and applications so that the computer will start normally. If your computer came with a restore disc set, or you made a set yourself, you'd use those. If you don't have restore discs, you can do a fresh installation of Windows from CD. You need to find the disc for the version that came installed on your computer, since you'll need to use the product key from the sticker on the bottom. Drivers and utility programs you can download from Compaq's (HP, actually) support and drivers website
Once you've got a bootable Windows system on the new drive, you won't get that strange message any more.