If you want scriptable applications, you don't need to compile code perse.

You can use one of the available scripting languages for the JVM, like
Beanshell: http://beanshell.org/

Or you could use the BSF (Bean Scripting Framework), which allows you to
plugin the scripting language of your choice.
http://jakarta.apache.org/bsf/

If you really need to compile a regular class, use the regular java
compiler:

Place tools.jar on your classpath and invoke

   public int com.sun.tools.javac.Main.compile(String[] args);
or
   public int com.sun.tools.javac.Main.compile(String[] args,
                                              PrintWriter out);