The fillet is a very tender steak muscle which comes from the lower middle of the back and forms part of the sirloin. The fillet muscle is so tender because it does the least work. It is also a very lean cut with little fat running through it, which means it doesn't have quite so much flavour as other steak cuts. Fillet steaks are traditionally cut a bit thicker than other steaks, about 4cm or 1.5 inches.
If you'd like a bit more fat and flavour try a sirloin or rump steak.
The fillet is a muscle which is hardly used by the animal, which makes it the most tender muscle in the carcase. It is the most expensive of all the steak cuts as you only get about 2kg of fillet per animal.