A filter is a file that acts as an interface that allows EndNote to interpret the parts of references that have been saved in a file (i.e., downloaded from an online catalogue or database). The filter allows EndNote to import the file. You need to use a filter when the file downloaded from a database is not compatible with EndNote.
Most filters you need are already available under Edit > Import Filters.
If you need to access to new filters, you can check the EndNote website for additional files: http://endnote.com/downloads/filters