What is deep fat frying?

I suppose you're talking about deep frying of food with (liquid) fat.

by immersing the food into a heated medium composed mainly fat, heat is transferred into the food via conduction.

while water is the major component of most of the food items, the fat can be heated and reach a temperature much higher than the boiling point of water, 100*C. food can be cooked much faster.
also, there could be many chemical reactions in the cooking process, which only occurs at temperature well higher than 100*C, e.g. caramelization, dehydration etc.

as mentioned, water in the food item quickly boils as heated by the oil, turning into steam. volume of food generally decreases for loss of water, while some food actually expands due to the space left by the expanding steam (like the holes in cake).