Doc: Fix broken links in COMPILING and CONTRIBUTING guides

[2TallTyler]

Motivation / Problem

I found a broken link.

Description

I checked the rest of the markdown docs in the root OpenTTD folder and fixed all the broken links I found.

Limitations

I'm not sure what exactly the EU GDPR link used to point to, but I imagine the main page is a good enough replacement.

Checklist for review

Some things are not automated, and forgotten often. This list is a reminder for the reviewers.

• The bug fix is important enough to be backported? (label: 'backport requested')
• This PR touches english.txt or translations? Check the guidelines
• This PR affects the save game format? (label 'savegame upgrade')
• This PR affects the GS/AI API? (label 'needs review: Script API')
  • ai_changelog.hpp, game_changelog.hpp need updating.
  • The compatibility wrappers (compat_*.nut) need updating.
• This PR affects the NewGRF API? (label 'needs review: NewGRF')
  • newgrf_debug_data.h may need updating.
  • PR must be added to API tracker