It is extremely easy to change a filter on a furnace. The first step is to go to the utility room where the furnace is located. The filter can typically be found where the cool air enters the furnace (the air return duct or at the entrance to the blower chamber). There may be a compartment on the side of the furnace with a door that opens, slides up, or pulls off where filters are kept. If there is no filter on the side, you will need to remove the doors on the front of the furnace and the filter will be located in the bottom chamber (this should be very visible). The filter should slide out easily. If there's any resistance as you pull, check to make sure that there is not a locking mechanism holding it in place. If this is the case, slide the lockout out of the way and the filter will come out.
Disposable furnace filters have a cardboard frame. If the frame on your filter is either plastic or metal, stop here. It is a permanent filter and can be cleaned and reused instead. Make sure you get the exact same size (the measurement is printed on the edge of the filter) and ensure that the airflow arrows on the side are pointing the right way (toward the blower and away from the cold air intake). The next step will be to put the furnace doors back on correctly and securely. If the doors are not put back on correctly, the furnace will not turn back on due to a "kill switch". This needs to be pushed in to let the furnace know that the doors are on and there is no chance of debris getting sucked into the blower.