How do you put in filter to heat pump?

The air filter will either be located at your "return" or "intake" grill (both are the same, different terminology only) or at the air handler. If you are talking about a refrigerant filter, you need a "bi-flow" refrigerant filter. Most people mount it nearest to the indoor coil and installed on the smaller line, usually 3/8". Even if you have a smaller than 5 ton equipment, I would use a "filter-drier" made for a 5 ton. On a bi-flow filter, It does not matter how or which direction you mount it in the line. A bi-flow filter will have 2 arrows like this -> <- For a standard air conditioning system, (cooling only/non heat pump)the filter drier will have only one arrow -> and should be installed closest to the indoor coil (evaporator) with the arrow pointing towards the evaporator.