Get your ladder and a flashlight and look through the grill. If there's a filter there you'll see it. Yours looks like it has small release levers, pull those down and the grill can be remove to access the filter. Some grills may be hinged and just hang down from the grill frame.
If no filter go look at your heater. There should be a removable panel that retains the filter (depends on age and manufacture). If not, back to the grill in the ceiling, there should be a channel around the frame that the filter resides in. Guess from pic it maybe in the 14x20 or 14x24 range.
As for filters look for ones that have a high MERV number in the 10 - 14 range.
The higher the number the better filtration. Cautionary note: the higher MERV number also means it's a more restrictive filter. Highest MERV number for most home heating units is around 13.
GAJ - good link. :thumbup