An air filter is an important part of a car's intake system, because it is what allows the car to "breathe." An engine needs an exact mixture of fuel and air in order to run, and all of the air enters the system first through the air filter. This catches the dirt and other foreign particles in the air, preventing them from entering the system and possibly damaging the engine.
Car air filters are generally pretty cheap, due to the filter's simple construction. Most are paper-like or fibrous material, folded accordion-style and arranged on a plastic or metal frame. Some are made out of a cotton or fabric-like material, which is then oiled in order to increase airflow. Vehicles generally have a specific holder for this filter, which is usually a plastic or metal box. Generally, the holder is connected to the intake manifold by a large plastic tube through which the air flows.
Having a clean air filter is important for your car's performance. This means that filters should be changed regularly, or the vehicle's gas mileage will suffer. A dirty filter can also cause other systems to run ineffectively, such as your emissions control system, which regulates the car's air-fuel mixture. It can also cause your spark plugs, which ignite the fuel in the combustion chambers, to foul, as there will be too much fuel without enough air; if your spark plugs foul, you may have problems keeping your car running.
Most people should change their air filter at least once a year, but those who live in areas with dirt roads or heavy pollution should do so more often, as these factors can cause a filter to become dirty more quickly. You can have a mechanic inspect it, and change it if necessary, during an oil change or your yearly tune-up.
If you plan to change your air filter yourself, look for a large plastic tube leading away from the top of the engine. The tube should connect to a large box that may be round or square, plastic or metal. The box will have a top that comes off to access the air filter. If the filter material is blackened, the dirt is restricting the passage of air and the filter should be replaced.