Modules don't need to be compiled from files; there's just no batteries-included "eval these lines into a module" by default. But it's not hard:

    parse_form(Form) when is_list(Form) ->
      {ok, Tokens, _} = erl_scan:string(Form),
      {ok, AST} = erl_parse:parse_form(Tokens),
      AST.

    load_module(FormStrs) ->
      FormASTs = lists:map(fun parse_form/1, FormStrs),
      {ok, ModName, ModBin} = compile:forms(FormASTs),
      {module, ModName} = code:load_binary(ModName, "nofile", ModBin),
      {ok, ModName}.

Note that even an "anonymous" module must have a name, to serve as a handle for the VM. But you can do something like:

    gensym() ->
      {MT, T, UT} = erlang:now(),
      io_lib:format("~p_~p.~p.~p", [node(), MT, T, UT]).

    load_anonymous_module(FormStrs) ->
      ModNameFormStr = lists:flatten("-module(", gensym(), ")."),
      load_module([ModNameFormStr | FormStrs]).