All the ones I have ever changed have an arrow on the cardboard frame that shows the direction. The arrow should point in the same direction as the airflow. Easier yet, just notice the arrow direction when removing the old filter, assuming it was correct.
On the filter itself, there are arrows that show the direction of the airflow. You want to install the filter so that the direction of the air, i. e. the outside air coming into the unit, is flowing in the same direction in which the arrows are indicating.
There will be an arrow on the filter indicating the "flow." The arrow on the filter should follow the flow of air into the system. In most cases, this simply means the arrow points into the system. For in-line filters, just check the direction with a strip of paper.