Which way should the arrow point on my filter?

 

The arrow points toward the airflow of the system. Usually, there is a "chicken wire" type mesh on the filter to keep the filter from drawing in toward the system if it gets dirty. The mesh wire should be closest to the furnace. Or, you can ensure that the arrow points towards the evaporator coil. If this is too confusing, you may want to call your air conditioning company to either replace it for you or show you how to properly install it.