A filly is a female horse under four years old; at four she is called a mare. Like colt, the word fixes age and sex rather than use or training. A filly foal is a female in her first year, and she remains a filly through her growing years until she reaches mare age.
See also: the age class a filly grows into, the male equivalent at the same age
Further reading: Filly on Wikipedia; management of reproduction in horses from the Merck Veterinary Manual.