IIRC "Klingon Compendium" referred to the entire Klingon section of startrek.com's elaborate "Star Trek: Continuum" website. It consisted of two parts: (1) "Klingon Linguistic Studies" (i.e. tlhIngan Hol vocabulary with definitions [unfortunately NOT supplied by Okrand], simplistic examples of each word of the {bIbep} "you complain", {jIbup} "I quit" variety), and audio recordings of Okrand pronouncing each example; and (2) the "Klingon Culture" database (i.e. descriptions and images of Klingon-related things seen in the shows and movies, e.g. gagh, d'ktagh, bat'leth, etc.). "Klingon Databanks" sounds like another name for the latter.
Right. "Star Trek: Continuum" was the entire overall site, which was mostly Federation- rather than Klingon-related stuff. The "Klingon Compendium" was the Klingon-related area. One section within that was the "Klingon Linguistic Studies".
The URL for the "Klingon Compendium" ended in "klingon_databanks.asp", which is presumably the origin of the other name.
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De'vID