Locate your return air duct which is often on the wall. This is larger than the air flow ducts that circulate air into the various rooms of your home. The return air duct is usually located near your thermostat.
Remove the grill by undoing the fasteners holding it in place. These should easily turn away from the grill. (Some grills may be screwed in place. If so, remove the screws with a screwdriver.) Place the grill on the side of the wall.
Remove the old air filter. Check the size of the filter, and confirm that your new filter will fit properly in the unit. Discard the old filter.
Hold the new filter, and locate the air flow arrow. This should be on the exterior frame of the filter. This arrow will point in the direction that air flow should be moving. So the arrow will be pointing into the wall as you place the filter in.
Place the bottom of the filter in, and slide the top in place. Make sure the filter fits snug without extra gaps. If you have purchased the correct size, this should not be a problem.
Replace the grill, and secure it in place.