Sorry , much of the information in the above post is very inaccurate and I imagine would only confuse you.
For example, thsi control has no affect on what range of frequencies get compressed at all.
The whole input signal is always compressed - the entire frequency range.
Meaning that when compression is applied, it affects the entire signal.
The signal on the sidechain, controlls 'How Much Compression' is applied.
The HP filter on the sidechain input, therefore affects the range of frequencies that are being used to dynamically control the amount of compression (the amount that the entire signal is compressed at that point in time).
scook has supplied the absolute correct answer above - very succinctly.
Perfect description in two sentences.
Ignore the rest below that, it's incorrect, very confusing and misleading.
Cheers - Cliff