Most modern cars these days come equipped with an in cabin air filter. The purpose of this filter is to clean the air vented from the outside and vents to inside your vehicle. Typically you should change it every 24,000 miles or check/replace every 2 years. This interval can be shorten if you drive in dusty or polluted environments.
You will find the in cabin air filter located behind the glove box and procedure will vary depending on the vehicle you have. In this video I will show you a comparison between an old air filter and a new one.