Quickest Loop within a Loop

Question

Currently I have a Loop with in a Loop to find if sometime in a List is contained within a string array:

            foreach (var cl in compFileName)

            {

                foreach (var f in fileArray)

                {

                    if (f.Contains(cl))

                    {

                        compToCopy.Add(f);

                    }

                }

                (sender as BackgroundWorker).ReportProgress(i, Convert.ToString(i));

                i++;

I'm wondering if there is a more efficient way rather than doing a loop within a loop as even with just 30,000 in the list it takes some time to iterate through!