Basically every telephone, fax, or analogue modem needs to have a filter. For obvious reasons your adsl router/modem must not have a filter so you generally have the line split straight out of the wall.
If you have multiple phones connected to your line, try and install the filter at the point where the line enters the building and connect the rest of the rats nest to the filter. It'll save having to purchase a filter per phone and will stop the line from being loaded by a bunch of filters.