Your air filter is most likely located right next to your furnace or air conditioning system air handler. The air handler is the large box containing the fan and fan motor. The air handler pulls air in from the house through the "return" duct system, and then blows the air through the heating or cooling system and back into the house through the duct system. The air filter is typically located at the point where the return duct enters the air handler. Look for a 1" wide hinged or removable cover. The air filter will be inside.
Increasingly, air handlers are being installed in attics. This sometimes limited space will require installation of the air filter in the return. The filter is accessed by removing the grate covering the return duct. It is now unusual to have several returns in a house, with an air filter installed in each return.
Many houses have more than one HVAC system. Each system will typically have at least one air filter. Therefore your house may have air filters located at the air handler AND in the returns. You should check each possible location to make sure you have located all of your air filters.