Hot furnace and Air conditioners usually uses the same Air filter to trap the dust in the house when either the hot furnace or the Air Conditioners is running. The Air has to pass through this same Air filter before getting released into your house. Furnace air filters are quite cheap and they do come in two or three pieces per pack. The normal size for most furnace filter is 16x25x1 and it fits most furnaces. You can buy them from Canadiantire or walmart or Home depot. They are usually on sale during the summer months.
The place to insert this Air filter is located at the connection between your furnace opening and your aluminium tubing vent as shown in the image below:
Just be sure that your Air filter is facing the furnace side (Look for the arrow on the Air Filter which says "This side faces furnace"). There is no problem even if you faces it the wrong way. It is just that the air flows much better and cleans better when the Air filter is facing the correct way.
You do not need a separate Air Filter for your Air conditioners because they uses the same Air filters and the cool air produced by your Air conditioners has to pass through your furnace vents anyways.