Compound exercises are movements that involve more than one joint and muscle group at a time, as opposed to an isolating exercise that involves only one muscle/joint at a time.
For example, lifting the leg to the side involves moving the hip joint and strengthens the outer surface of the thigh and buttocks. If you had changed it to a side step with a squat, you would still be working out the outer thigh, but now you have added more joints (hips, knees, ankles and elbows) and more muscles (quadriceps, hamstrings, calves, biceps and forearms). Flexing the arms on the biceps is another isolating movement that involves the elbow joint and biceps muscles. But what if you had to add a squat? You are not only working out your arms, but also simultaneously working on the main muscles of the lower body. It also makes movement more challenging and increases your heart rate, adding an element of cardio to traditional strength training exercises. All this leads to burning more calories than when performing repetitions of traditional biceps bends.