I have the same filter location as referenced by Steve Armstrong. There is no slot for the filter but it is just held in place over the return duct by a metal arm.
Here is the opening between the return and the blower: alt text http://serverintellect.jeffwids.com/public/20100802_762_furnace_filter.pngalt text http://serverintellect.jeffwids.com/public/20100802_762_furnace_filter.jpg
And here is the filter in place over that opening with the metal arm holding it in place: alt text http://serverintellect.jeffwids.com/public/20100802_762_furnace_filter_2.pngalt text http://serverintellect.jeffwids.com/public/20100802_762_furnace_filter_2.jpg
I would not have known a filter was supposed to go there if there hadn't been one there already.