My unit is blinking that I need to change the filter. Where is that located?

The filter is in the furnace, or on the side of the furnace, or above it, or in the ceiling or even a wall of the house. It could also be inside the top of the furnace.

The thermostat warning is just a reminder, see the owners manual to find out how to reset the reminder. Often in those old Chronotherm thermostats the instructions are printed on the door of it.