SublimeText is just a text editor with some 'extra bits' plugged in.
HTML, CSS and JavaScript aren't compiled languages, so you don't need a compiler, just save the file with the correct extention (.html, .cs or .js).
For syntax highlighting, click the box on the far right of the status bar, it'll list some languages that SublimeText knows about, including those three and will helpfully provide syntax colouring and formatting to help you along.