The real answer is below... but first:
Back when "LASSIE" and "RIN TIN TIN" were the super dogs of American Entertainment, they could do anything with a "ROOF ROOF". Timmy was stuck in a well? The dog would get help with just a "ROOF ROOF" to the folks back home. I suspect that these filters were developed in an attempt to keep all that barking off the AIRWAVES, as the dogs quickly learned to use Amateur Radio to more quickly handle the emergency. This caused quite a bit of QRM with all the "ROOF ROOF ROOFING".
NOW, for the REAL ANSWER: direct from Wikipedia.com:
A roofing filter is a type of filter used in a HF receiver (shortwave radio). It is usually found after the first receiver mixer. The goal of a roofing filter is to reduce the passband of the 1st intermediate frequency (IF) to about 6-20 kHz, so that overloading and distortions by the following amplifier stages and mixers are reduced. The receiver's bandwidth is not performed by the roofing filter but by a following crystal filter, mechanical filter or DSP filter. These allow much better filtering curve than a roofing filter, which often uses a high 1st IF of higher than 40 MHz. Because of this, roofing filters are usually crystal filter types.
It should be noted that while a 6-20 kHz roofing filter is acceptable for general purpose HF radio reception, demanding uses like listening to weak CW (Morse Code) or SSB (Single sideband) signals requires the use of roofing filters that are a much smaller width appropriate to the reception mode in use. 250 Hz, 500 Hz, or 1.8 kHz would be acceptable values. These also require that the receiver use a low first IF below VHF range, perhaps 9 or 11 MHz.
Retrieved from "http://en.wikipedia.org/wiki/Roofing_filter
Hope that helps