The furnace doesn't come with filters. The installer will add a filter access on the return ductwork.

Filters can be placed just about anywhere. Usually they are in a slot between the return duct and the intake side of the blower assembly. Sometimes they are in the cold air returns and in some cases in a large single wall return. Look for a grill, about 20X20 or 24X24 on the wall and you will probably see small pull out tabs. Open the grill and see if the filter is in there. I have a GA mountain cabin and my filter is in a 20X20 return on the wall.