This is how to change the furnace/AC system filter in the house. It is located near the front door. You want to use the 5inch deep filters that have better filtration, are less restrictive, and last longer between changes. I do not recommend using 1inch deep filters like in this video. I only put the 1in filter in for a temporary solution until better filters arrive.
Much better filters are available online, for this filter frame you are looking for 12x24x5 with a MERV greater than 10. If you are a smoker you want a MERV rating of 13 or higher.
LEED recommends MERV 8 at a minimum.
US Department of Energy recommends MERV 13.
More information on MERV ratings can be found on wikipedia