Increased lipids in the blood associated with HIV infection and anti-HIV drugs is a growing problem. The drugs used in this study are known to reduce certain lipids, but little is known about their safety and effectiveness. This study will see if one of the drugs is safer and more effective than the other, or if combining the drugs is the safest and most effective way to lower lipids. This study has been changed. On June 26, 2001, this study was reviewed by the Data and Safety Monitoring Board (DSMB). The DSMB is an independent board monitoring the progress of the study. The review showed that neither pravastatin nor fenofibrate alone were effective in reaching all the cholesterol and triglyceride goals. There were no safety concerns. It is not known if the combination of fenofibrate and pravastatin is effective and safe. Therefore, it is important to continue this study.