Filters are an additional option which can be enabled and adjusted according to user’s needs. Consider filter values (as many as you will specify) as a sort of additional sorting. E.g. if you have catalog sections and categories, you will be able to sort entry value not only by them but by other parameters as well.
Example:
When adding an entry to the music file catalog you can specify the values: section "POP", category "English singers"; and by means of filters you can set the value of, for example, download cost "$2". A drop-down filter menu "download cost" will appear in the catalog, and it will contain the necessary price categories "$2", "$5" etc. By means of this menu your site visitors will be able to view all available files with the download cost, for example, "$2".
This is just an example, you can set any filter with any words (values), the main point is that it will sort (filter) entries.

How do I create a filter.
Let's take File Catalog as an example.
Where to find: Control Panel -> File Catalog -> Customize filters.
You can see the link "filter is inactive". Click it and you'll get to the "Activating filter" tab.
You can see the fields. Let's fill them in the following way:
Name of filter: Cost
List of filter values:
$2
$5
$10
(each value in a new line, max 100 values up to 40 characters each)
Multiple value selection: you can either put a check mark or not.
Click "Save".
You’ll get to the page with the list of values where you can see a new created filter. You can edit it anytime by means of the "wrench" icon

Now go to Control Panel -> File Catalog -> Module settings. Find "Fields of a new entry form" and you will see that a new field with the filter name has been added. Activate this filed and save. And then you will be able to see that a drop-down field with the filter name and the specified values appeared on the page for adding new entries. Now you can also select the price category when adding new files.
Then go to Control Panel -> Customize Design. Let’s put the filter on the section main page of the File Catalog. So we need "Page with section contents".
You can see that a new code appeared on the list under the template – it's $FILTER1_MENU$. All you need is to paste this code into any place you want.
If you have more than one filter the second code will be $FILTER2_MENU$.
You can create 2 filters only.