The filter usually has an interval to change it at. i believe its 30,000 miles, but if you run bad gas, its better to change it more often. If you cant remember when you changed it last, change it then. otherwise you can do good by changing it every 4-5 oil changes. just for best protection.
when you put the new filter on, and snap the white plastic clips into place, you will have air in the line.
Turn the Key on,(where fuel pump kicks on)
pop the hood, and locate the fuel rail.
on the front of the fuel rail there should be a lil black cap that looks like the tire stem valve cap where you put air in your tire.
Unscrew this cap and it is a valve like that. put a rag around both sides of it and use somethng to push down the valve (like when you let the air out of the tires)
You should get some fuel, but a lot of air.. when the air is gone and its strictly fuel, stop and put the cap back on.
What that does is prevents "dry starts" air bubbles that keep it from starting and can burn up fuel injectors (probably not but ive seen it)
hope this helps