Changing the air filter in your furnace should be done regularly.  What exactly does the air filter-filter out? That would be particles of dust, pollen, mold, bacteria, pet dander, tobacco smoke and viruses.  Then there is gaseous such as exhaust from vehicles and combustion fumes from gas stoves.  You can use a mechanical filter that uses some kind of dense material that traps the contaminants. There is also electronic air filters that use electrostatic electricity to attract particles to the filter.  Choose one or the other but make sure to change it frequently!