If you do a search for "air filter" you'll come up with a number of threads that discuss the effectiveness of different air filters to replace stock as well as Cold Air Induction kits.
I don't know what particular filter you're talking about, but if it's a simple stock replacement air filter, then typically you just unclip the air box, remove the old filter, then put the new one in. If it's a cone filter/CAI type of deal, there might be a thread around with more info...and if not, perhaps someone with such a setup can describe the process.