Filters allow you to create a segment based on specific parameters of your profile fields within your database. The results of a filter change as you add or remove data from your database.
For example, you might want to create a filter based on the age of your subscribers.
This filter can then be used on any one of your lists when choosing who to send to.
To create a filter go into the Databases section, then click on "Filters".
Then name the filter, create what you're after and hit save.
You'll then be able to see the filter and a count of the people within.