What is the hodge structure given to the cohomology of the complement of a closed subset with respect to a smooth variety?
This is not quite what is wanted. In fact, The hodge structure is constructed as in Deligne's Hodge theory II where it is shown that it does not depend on the compactification but the question is: can we compare the Hodge structure of $ H^i(U, C) $ and $ H^i_c( U,C) $ asumming that $ U = X -Y $ where $ X$ is a smooth, compact ( say $P^4$) and $ Y $ is a hypersurface which admits only isolated double points?
What we can actually construct is the Gauss-Mannin connection on $Gr_F ^3 H^4(U,C)$ but we would like to relate it to the given by taking cohomology with compact supports on $ H^4_c( U,C) $. Of course, you can always think of an exact sequence involving $ H^i( X,C) $ and $ H^i_c( U, C) $ but remember $X$ is singular.