I have to prove some stuff that involves the concept of collection, in particular those relating to compact sets.
But then I have got this trouble. For example, consider the set of all rationals. If we take any rational $r$, certainly $\mathbb{R}$ has an open interval that contains $r$, so $\mathbb{R}$ covers $\mathbb{Q}$. But then there is one open set (the real numbers) that covers $\mathbb{Q}$ so $\mathbb{Q}$ is compact. I know this is not true, but I don't understand why this argument is incorrect.
Can somebody give some advice please? I tried hard to understand the problem but I can't see anything.
The problem here is that you misunderstand compactness.
Yes, indeed, $\mathbb R$ does cover $\mathbb Q$, meaning that $\{\mathbb R\}$ (i.e. the SET that contains one element, the set of real numbers) is a covering of $\mathbb Q$, and it is finite, therefore it is a finite covering of $\mathbb Q$.
However, that does not mean that $\mathbb Q$ is compact. For example, the set $$C=\{(z-1, z+1)| z\in\mathbb Z\}$$
is also a covering of $\mathbb Q$, because $$\mathbb Q\subseteq \bigcup_{A\in C} A$$
However, it is clear to see that no finite subcovering of $S$ can ever hope to cover $\mathbb Q$, since any finite union of sets from $C$ will have an upper bound, and $\mathbb Q$ is unbounded.