I'm looking for a compact set, which is not closed.
I read somewhere that $Z^+$ are compact and not closed, but I don't understand why.
Are there any other examples of compact sets that are not closed and could you please explain?
I know that we can't look in the reals because every compact set in the reals is closed and bounded correct?
In any metric space, all compact sets are closed. To see this, let $(X,d)$ be a metric space, and $Y \subset X$ a non-closed set. Since $Y$ is not closed, it does not contain all of its limit points, so there exists a point $y \not\in Y$ which is an accumulation point of $Y$. Then, the collection $$\mathscr{U} = \{U_\varepsilon\}_{\varepsilon > 0},$$ where $U_\varepsilon = \{x \in X : d(x,y) > \varepsilon\}$, is an open cover of $Y$. However, any finite subset of $\mathscr{U}$, for example $$\mathscr{V} = \{U_{\varepsilon_1}, \cdots, U_{\varepsilon_n}\}$$ is not a cover of $Y$. To see this, let $\varepsilon = \min\limits_{i\in\{1, \cdots, n\}}\varepsilon_i$. Then, the ball around $y$ of radius $\varepsilon$ is disjoint from every set in $\mathscr{V}$ and contains a point of $Y$ (since $y$ was assumed to be a limit point of $Y$). It follows that $Y$ is not compact.
As Prism mentioned in the comments, we can show that any compact subset of a Hausdorff space (a class of topological spaces which includes metric spaces) must be closed. So we have to look for a non-Hausdorff (non-metric) counterexample. One such example is the set $X = \{x_1, x_2, x_3\}$ with the trivial topology $\tau = \{\emptyset, X\}$, where the set $Y = \{x_1\}$ is compact (since any open cover of $Y$ is finite), but $Y$ is not closed.