File compression only trims upper frequencies, in the case of digital, around 44.1khz. Audio compression is almost unavoidable.
The only way to get truly uncompressed music is to have all analogue instruments played directly to your ears with no speakers or electronics in the path. Sadly though, our ear drums compress what is too loud.
Any analog to digital conversion loses information. The quantization of the analog signal makes it unavoidable. The sampling rate itself is a form of compression — you trade off file size against audio quality. Once you are beyond the human hearing limitations, there is no point to faster sample rates.