"What are you sewing?"
Translation:Kion vi kudras?
You can read more about compound tenses in this grammar: http://www.gutenberg.org/files/7787/7787-h/7787-h.htm (use Ctrl+F to search for section "108.")
The short answer is that you'll use it when you're describing either a continuous process (which can be readily substituted by the present simple) or a process that was happening at the same time as something else (which is similar to the imperfect tense in Portuguese, Spanish, and French). You can find an explanation here: http://esperanto.50webs.com/EsrGrammar-3_08.html (3.8.7. Complex verbal forms)
The answer about "progressive tense" is no. For the progressive in English, we use a simple tense in Esperanto.
- I am sewing = Mi kudras.
The other answers about "compound tenses" are something different. For what it's worth, I teach the participles as adjectives. There really is no "compound tense" in Esperanto.