If you have a file open in your project, you can compile that file by using the Project -> Compile menu choice If you have a large project with many source files, it can be useful to just compile the one file that you are working on to check if there are any syntax errors.
Make is more intelligent than compile. Make will look at the date on which a file has been changed and only compile those files whose object files are older. With compile, you force JBuilder to compile files no matter what the date is.