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Is it electric baseboard heat, with a thermostat right on the heater, or on the wall nearby? Is the heater functional?
Thank you for the additional information. Are you able to post photos of the heater and the thermostat?
Typically, electric baseboard heat doesn't use any type of filter. It's a bit odd, if that's the type of heat you have, that the thermostat would be telling you to replace a filter, unless it isn't exactly the right thermostat for the system (it could still work, even if it's not the ideal type). Unfortunately, without being able to see what you have, it would be difficult for me to assist you further. For a very small additional fee, I can give you personal contact info, and you could text the photos to me. That would also allow us to speak by phone, if you would like to do so.
I see that you posted photos in a new question. Thank you for posting them. You have a hot water heating system. That being the case, I should transfer your question to the plumbing or HVAC category. Please stand by for a new expert from one of those categories.