Consider the metric $\rho(x,y)=\frac{|x-y|}{1+|x-y|}$ on $\mathbb{R}$. Is $(\mathbb{R},\rho)$ compact?
In order to show that is not, I wanted to find a sequence such that any subsequence is non-convergent and I considered $x_n=n$. Does this work or I missed something?
An alternative approach to your problem:
First, show that the function $f:(\Bbb R,\rho) \to (\Bbb R, |\cdot|)$ taking $x \mapsto x$ is continuous. Now, the continuous image of a compact set is compact.
So, suppose that $\Bbb R$ were compact under $\rho$. Then since $f$ is continuous, $f(\Bbb R) = \Bbb R$ would be compact under $|\cdot|$. Since this is not true, we have derived a contradiction.