Installing your filter. When you install a new furnace filter, it's important to make sure that the airflow is directed correctly. Otherwise, your filter won't work as designed, causing your HVAC system not to work as efficiently which could create problems down the road. As for exactly which direction your... Installing your filter. When you install a new furnace filter, it's important to make sure that the airflow is directed correctly. Otherwise, your filter won't work as designed, causing your HVAC system not to work as efficiently which could create problems down the road. As for exactly which direction your...