Furnace wont produce heat. Thermostat is brand new. It Will work fine for a minute then heat come on go right back off. Can't find where filter goes house is old and vents are dirty I thought it's the filter but filter is new. Tired of feeling cold air instead of heat.
You should call an experienced HVAC contractor.
It sounds like one of the safeties on your furnace has failed and it is not initiating or detecting the flame properly (I am guessing you have gas, propane, or oil). So it begins to work, cannot initiate or detect the flame so it fails and it may just leave the fan running when it fails.
A service call will be worth it when you are warm again.
Be sure your filter is clean, low air volume will shut it off.
If you have unit that pulls combustible air from outside, check that orifice for blockage.
Check the vent for blockage. I had a high-efficiency unit with a dip in the PVC pipe where condensate pooled and kept choking the unit.
If you can find a copy of your furnace's manual, check the front of the furnace on startup. Most newer models have a display (LEDs generall) that gives some diagnostics and errors. This lights have meanings, though sometimes general in specificity. This may help you find the problem.
Also, if possible watch the burner. All burners should light up and burn blue on a natural gas system. Do not remove the cover if it does not have window.
Finally as ArchonOSX suggested, call a technician.
**Also get yourself a CO detector if you don't have one!