Step 1. Buy a new filter.
Before you buy a new air filter, check your owner's manual to identify the right number or size (it should also 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 attempting to change the filter, for your own safety. If you can't figure out how to turn off the unit itself, you should turn off the breaker.
Step 3. Remove the old filter.
Most air filters are located on the right side of the unit. The filter should easily pull out of its slot in the furnace. It's not common, but sometimes filters are found in air vents in your home. If that is the case, you will likely need to contact a professional to change the filter.
Step 4. Insert new filter
Simply slide the new filter into place. There are arrows on the new filter to indicate which side should be facing the outside air.