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I assume you mean the cabin air filter - it is located behind the glovebox. Open the glovebox, squeeze the sides in and drop the glovebox forward (its a good idea to empty it first). Directly behind the glovebox will be a small black plastic door - open it and you can pull out the cabin air filter and replace it.
May be pocket(s) of air in the coolant system. If the coolant has not been replaced in awhile, try having it flushed and replaced.