In Quartus II, you compile projects, not files. The project must have a top-level file which can include any number of other files in a hierarchical fashion. So, the answer is that you effectively compile the project, which refers to a single top-level file, which in turn includes all needed subcomponents. 

In somewhat more detail, what Quartus will do is start with your top-level design file, and compile everything that it finds as it descends into the structure of that file. Even if you failed to specify a file as part of your design, Quartus will find it IN THAT DIRECTORY and compile it. If it is not in that directory or a designated "library folder," you'll get an error -- so you would have to either tell Quartus to look in other "library folders" or just move the file.

Perhaps even more arcane is to note that if you specifically add a file to the project (on the Navigator pane, for example), Quartus will compile it even if it is not needed by the top-level design file.