The air filter keeps dust and other particles from getting into the intake and damaging your engine. So it is important to make sure that it is clean, because as dust builds up it will restrict air flow to the engine. How often it needs to be changed, depends on what conditions you drive in.
Fig. #1: This is the filter box. One of the clips can be seen on the lower right.Fig. #2: A new filter being installed in the filter box