I have a Consolidated Industries Furnace model number HW SV9500. I cannot find the filter on the thing. I was talking to a friend and he says it may be aftermarket. I feel stupid for asking this but would feel more stupid for ignoring it.

Don't feel stupid. The SV9500 is the part number of the SmartValve combination control, not the model # of the unit. Have you checked inside the blower compartment? Or, if you have a common return air grille, it could be inside.

No don`t feel stupid,, I lost my filter once ,come to find out the little woman had put it in the hall closet