Most filters have arrows on the frame of the filter that indicate which direction the filter should go. The arrow points in the direction the air is flowing through the duct system. Most furnace filters are bi-directional (does not matter which way the air travels). If you can't find an arrow which indicates the proper air flow, there are a few additional things you can look for and/or your filter will have no impact regardless of the direction.
If there is a plastic or metal mesh grate or lining on one side, then you would place the filter so that this mesh side is closest to the furnace. That is, the air travels through the non-reinforced side first. The reinforced side helps the media in the filter hold its shape.
I hope this helps! Please let us know if we can be of any assistance.