1) Obtain the correct replacement filter.
It should be the same as the one you replace, and you can consult your owner's manual or auto parts store for assistance. Most are just $10-15.
2) Park the vehicle
Park the car on level ground in the shade, apply the parking brake, and turn off the ignition. Prop up the hood and let the engine cool for a few minutes.
3) Locate the air filter
The air filter is typically under the hood, enclosed in a black plastic casing (the cold air collector box) near the front of the engine compartment. It should be the largest non-metal assembly you see.
3) Open the air filter box and remove the dirty air filter
Unclasp the big metal clips that hold down the box and open the box. Some models have hose clamps and screws, others have wing nuts, and most are clamped on with a quick release system. Be sure to keep screws, fasteners, and other removable parts in a safe location, such as in a Ziploc bag on the front seat.
4) Look over the old filter
Remove the original filter; it is not fastened down. To determine whether your filter really does need replacing, hold it up to the sunlight or to a strong light. Do you see a lot of accumulate dirt and grime in the crevices? Is the orange/yellow paper mostly dirty in the center? You can try dropping it lightly on a hard surface to jar some dirt loose or even lightly vacuum, but if it is still too dirty to see through, you should replace it.
5) Replace with the new filter
Simply insert the new air filter into the box, making sure it sits snugly with the rubber rims facing up and sealed by the edges. Put the lid back onto the box, refasten all clips, and you're done!
Picture courtesy: http://t0.gstatic.com/images?q=tbn:ANd9GcSQ_2PiDcBIGnvoX_2O6LvjyYbho80Hmq9nwjLYKn2T2_BCjBVGbA
