What are .jspf files in JSP? As I know the compiler will look for .jsp files to compile, then how are the .jspf files compiled?
As others have noted, .jspf files are JSP fragments. They're designed to be statically included in another JSP file, not compiled on their own:
<%@include file="/WEB-INF/jspf/example.jspf" %>
You'll note that this example comes from the /WEB-INF/jspf directory. This means that it is not accessible outside of the web application; there's no way to construct a URL that can retrieve it. If you put them in the same directory as "normal" JSP files, you can construct such a URL; Tomcat, for example will retrieve the page as a text document. A front-end web-server, however, can block these URLS.
I like JSPF files as a first step in refactoring large JSP pages. Since they're statically included, you can extract a small chunk of the file without making provision for scriptets or variables, leading to pages that are somewhat more maintainable (and I want to stress, it's a first step; dynamic includes and taglibs are usually a better long-term solution). When refactoring, I believe in keeping the fragments close to their parent files; this is when having a web-server to block URLs becomes useful.