Step 1. Buy a new filter.
Before buying a new air filter, check your owner's manual to figure out the right number or size (it should be printed on the side of your existing air filter). You should be able to get a replacement filter at a hardware store, or some department stores sell them.
Step 2. Turn off the unit.
Be sure to turn off your HVAC unit before changing the filter, for your own safety. If you can't figure out how to turn off the unit itself, turn off the breaker.
Step 3. Remove the old filter.
Remove the old air filter, and slide the new filter into place. There are typically arrows or colors on the front and back of the new filter to indicate which side should be facing out.