Turn off your AC.
Remove the front cover by popping it off or unscrewing it as needed. The filter will be behind the cover.
Remove the ac filter. This may be done by pushing it out or unscrewing it depending upon the model that you own.
Your filter may be reusable, and it is likely that you can clean it and use it again. Vacuum or shake off the dust, clean with soapy water, and then rinse it well.
Allow the filter to dry completely before re-installing. Once the filter is dry it can be put back in place, either popped on or screwed in as needed, with the cover replacement as your last step.