Is this an A level essay? When you say compare does this mean that you are expected to compare and contrast? As in look at similarities and differences? Or just similarities?
Are you supposed to also compare such things as the plot, themes, narrative voice (omniscient third person in Pride and Prejudice), historical settings and structure as well as characters, for example? Have you been given any guidance? I am not an academic, student or teacher so don't have much of a clue how to advise you, I'm afraid. Hopefully other people on here can.
I have read Pride and Prejudice but not The Great Gatsby, or if I ever read it, I've forgotten it.
I recall that Pride and Prejudice has a very well-known opening line, demonstrating Jane Austen's irony and the theme of marriage, and that she examines the way that class operated in the society in which she lived. She uses irony as a literary device in her novels so I don't know if it would be relevant for you to compare this to any use of irony in the The Great Gatsby. Main themes in the novel include love and marriage. It also highlights the consequences of not marrying for love, in a society in which women often may have had little or no choice but to marry for money. I don't know if the Great Gatsby is similar? Darcy is attractive as a marriage prospect because of his wealth and position in society so how does this compare with the male protagonist in the Great Gatsby? At the start, Darcy is presented as proud, arrogant, superior and intelligent though he changes. The ending of Pride and Prejudice leaves everything happily resolved for Elizabeth, Jane, Darcy and Bingley and all ends neatly tied off. In this way it is a happy ending. Is the Great Gatsby similar in any way or different? Out of all the characters, Elizabeth and Darcy both learn and develop as characters throughout the course of the novel, which is something you may or may not be able to draw parallels with, in the Great Gatsby. Are there any similarities between the significance of the historical settings in the novels? What role do society's expectations play in each novel? Those are some initial thoughts from someone who knows nothing about A level essays.
Hopefully you will get more help on here on how to structure. I don't know how A level essays are structured but I would guess you should plan first, then would you do an introduction, which could set out what your essay will be about etc? Then maybe four (?) main paragraphs or so in the body of the essay, perhaps focusing each paragraph on a particular point which you are developing, with a conclusion summarising. Giving evidence for the points you make and explaining the evidence is good to do.