Newer cars have different air filters than older ones. If your car is rather new, its air filter is probably rectangular and you might find it located under the hood, near the radiator area or the fender wells. In order to change it, you must open it and take the actual air filter from it, replacing it by the new and then closing it again.
If your car is older, then the air filter will probably be of a big round shape and located near the engine area. It might probably be screwed, and all you might need to do is to unscrew the cover, let the air filter come out, and place the new one instead of it. You must pay attention in case it has any other attachment mechanisms such as clips which you would need to take off as well.
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