I have an Intertherm Furnace model MGHA-077ABFC-05. The pilot continuously goes out on it. Is there another filter or something other than what is on the furnace door ?

If it goes out after every lighting,, I would look at replacing the thermocouple ,this keeps the pilot burning at all times,, most don`t have but one filter

I say, have the heat xchanger checked and make sure the co detector is working properly