I had the same issue with my 2004 LE
I read in the manual that I was due to have it replaced and after taking everything apart could not find where the old one was. Turned out that it never had one to begin with. Anyhow I cut away the plastic but the filter I was sold (Fram) wouldn't fit so I ended up returning it and duct taping the hole after vaccuming out the dust.
To find the area where you would put the filter you have to remove the glove box. The new filter should have directions for this. It takes about 10 minutes to have her apart.