I've been writing about industrial air compressors and their applications for many years.
When air is compressed the moisture and impurities present in the intake air will appear in higher concentration in the compressed air output. Moisture can be removed from the compressed air using a variety of methods, including membrane filtration, desiccant, and refrigeration. Methods depend on the configuration of the compressor (reciprocating, rotary screw, scroll, centrifugal) and whether the compressor is oil injected or oil free. The application of the compressed element air is also a factor in the choice. Most inexpensive portable compressors aren't designed to have their output filtered. The resulting pressure drop ends up being unsatisfactory.
That said, you can get air filters and some probably work OK, just don't trust them for breathing air. DeWalt makes this: http://www.amazon.com/D55020-Heavy-Duty-Compressor-Filter-Small-Handcarry/dp/B0008GPLM8
Try googling "DeWalt Compressed Air Filters"...I got lots of returns.
Good luck.