A context filter is created simply by right-clicking on a field in the Filter shelf and selecting Add to Context.
Dimension and measure filters are independent. Each filter queries the data source independently and returns results. A context filter, on the other hand, will force dimension and measure filters to depend on it. This behavior can be helpful (and necessary) for getting the right answer in some circumstances. For instance, if a Tableau author accesses the Superstore dataset and uses a filter on Product Names to return the top-10-selling Product Names in a single Category, it will be necessary that Category be defined as a context filter. Otherwise, the Product Names filter will return the top 10 overall.
Will a context filter improve performance any more than a dimension or measure filter? The answer to that question changed with the release of Tableau...