See your owner's manual and follow those directions. The old filter is held in by a frame and wire bracing. To change it, carefully remove the old filter and discard it in the trash. Install the new filter back into the frame and use the bracing to make sure it is secure. Always follow the filter manufacturer's directions.
Some filters have to be installed in a certain direction to work properly.
Reinstall side heating and air conditioning side panel. There are products you can add to help make the filter work better and others that work like potpourri, making your house smell nice. These are usually a weaved fiberglass filter with a cardboard frame. Some have a metal bracing on one side. These units are inexpensive and should be changed every month.