Welcome UR1OFUS:
The air filter should be in the return air duct somewhere. It not only protects you but the furnace too.
I have seen them in some peculiar positions. Sometimes there is a 1" wide slit in the return duct right at the furnace and the filter slides out through the slit. Others are in the return air grille like mine. Or it could be anywhere between those two points. Just put on your super-sleuth hat and start looking for a slit or a grille, surely its there somewhere.
Glenn
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