Furnace filters are normally located in one of three places.
1. Inside the blower compartement, which will usually have filter anchoring divices of one sort or another.
2. In the return ductwork right near where the ductwork connects to furnace.
3. In your actuall return grill(filter girll).

Changing the filter is normally pretty self explanitory, but there are cases where it can be a little confusing(especially when filter is in blower compartment, and anchoring devices are not there.)