Where do I find the filter

In a wall return or at the heater. If you have a big central return vent, look there first. See if there are unlocking tabs to drop the front. If not, go to the heater, the filter may be in a case on the return side or inside the heater case itself.

So is there a filter located directly in the thermostat?

So is there a filter located directly in the thermostat?

Wouldn't be a very big one! No filter in a t'stat. What prompted the question?