Cabin air filters are not found in every car like an engine air filter, but generally the newer the car, the more likely it is to have one. The cabin air filter helps limit exhaust fumes, pollen and other allergens from entering the interior of your car. Other common names for a cabin air filter are micro filter, air conditioning filter or pollen filter.
If your car has a smell to it, replacing the cabin air filter is a natural starting point. It also traps leaves, pollen, bugs, exhaust gas, bacteria, allergens, twigs and other things before they enter your car's heating and air conditioning system. The air filter itself actually functions much like parts of the human body, creating the highest surface area to volume ratio possible, simply by having a folded "accordion" structure. If you remember your high school biology, this is how the small intestine absorbs so many nutrients. However, unlike the small intestine, your air filter should be replaced every year.
In addition to improving the air quality inside your car, replacing the cabin air filter regularly will enhance the air flow through your heating and air conditioning system. Improved air circulation will allow you to run the fan at lower speeds, which saves gas and prevents untimely wear and tear on the heating and air conditioning system.