For heating and cooling systems, there are two possible filter locations. A lot of furnaces use just one of these two. A few use both.
1. next to the equipment where the big air duct starts. (ref. the photo)
2. vents on the 2nd floor ceilings or walls in the house, where the big air ducts brings hot air into the house. (ref. the photos.)
For both AC and furnaces, as far as I know, few people maintain them regularly as we have more advanced reliable technology and we become lazier. But if you have babies, I think it’s better to order a tune-up for both every year before you start using them.