First,an ICC profile describes and interprets color for a given output condition, for example an Epson 9800 printing on Epson Exhibition Fiber paper, or a press printing on coated #3 stock, such as EuroCoatedv2. The CSF file is a way of grouping a bunch of different ICC profiles, rendering intents, and other settings into a "single basket" so you can easily set up a standard setting for grayscale, RGB, CMYK, etc. You can create settings inside of Photoshop or Bridge, then save them with a custom name as a CSF file. This makes it easy for you to recall all your settings with a single file. You can also share your CSF file with other users so they are using the same exact settings as you. I hope that is clear.
You don't mention what you will be doing, but I will assume you are creating designs in Illustrator, and editing images in Photoshop, and will place them into InDesign for final press output. If that is the case, it is best to have all your color settings the same across all three applications. First, it will be a lot less confusing if all three applications share the exact same settings, at least for the current project you are working on. If you place ICC tagged Illustrator AI or Photoshop PSD or TIFF files into Indesign, then InDesign should handled them correctly, if you have InDesign's color management turned on (your settings in the CSF file can change appearance, depending on how you have them set up).
I just finished an 8-page color brochure for a client. I did not know the final printer ahead of time, so I chose to create the entire brochure in CMYK, and set up all three applications to use SWOP2006_Coated3v2. I edited my Photoshop and Illustrator files using this profile, and saved them with the ICC profile embedded in the file. I set up InDesign to use the same profile, and set the default rendering intent to Relative Colorimetric. This way, all the native elements inside of InDesign were created with this color space and interpretation.
When I delivered the final file, a printer had still not been selected. So, I exported the final file to PDF using PDF/X1-a and the SWOP2006_Coated3v2 profile (but it strips the profile and just leaves the name, so the printer at least knows the original color space). I really didn't want the printer to convert to a new CMYK profile, since if they don't do it right, it could turn all my black components (text, line art, etc) into 4/C CMYK. I figured if the customer didn't care about his color, then why get myself all worked up. I picked a reasonable profile for press work in the USA and sent the files along with a detailed letter of explanation and accurate color proofs (assuming the printer adheres to the standard, which they usually don't). By the way, the job came out great, (not to my standards), but the customer is very happy, so all is well.
Long answer to a complex issue. I hope some of this helps.