Most central heating and air conditioning systems have a filter located as close to the blower unit as possible, in the cold air return duct. Remove the filter grill that holds the filter in place. Make sure to put your used filter in a bag to contain any dirt.
Install the new / clean filter with the air flow arrow towards the blower. If you have a higher dust level in your home due to changes in the season, dry weather, or construction, you may need to check your filter more often than the recommended period of 30 days for a fiberglass filter or 90 days for a pleated filter.