Understand the definition of a compound: A compound is a substance formed when two or more different elements chemically bond together in fixed proportions.
Analyze each option: Air is a mixture of gases, not chemically bonded; Fe (iron) is a pure element; O\_2 (oxygen gas) is a molecule made of only one element.
Identify NaCl: Sodium chloride (NaCl) consists of sodium (Na) and chlorine (Cl) atoms chemically bonded in a fixed ratio, making it a compound.
Conclude that among the options, only NaCl fits the definition of a compound because it contains two different elements chemically combined.
Remember that mixtures (like air) and elemental substances (like Fe and O\_2) are not compounds.