You can find an instruction video on how to change an air filter at: http://www.videojug.com/film/how-to-change-your-air-filter
I'm not sure wether you mean 1) "changing the original filter for a fresh one" or 2) "change the air filter to a different sporty type" (like i.e. an open air filter).
Either way it's pretty simple: the most important part is finding the correct filter for your car (model, type, year). A paper replacement filter (the same as the factory one) costs around 20 euro's and lasts around 30 000km, a more sporty cotton/foam one with improved airflow and durability costs around 60~70 euro (will last a life time, although needs cleaning every 50 000km) and might sound a little sportier.
Then find the airbox (which in your case is the big box on right with a big hose on the left, in front of the battery, can't miss). Unscrew the 3 bolds, remove the top and you'll see the air filter. Unscrew the placeholder on the left and the air filter will just pop out. Then pop in the replacement part and screw everything back. It's a simple, clean 5 minute job.
Replacing the whole airbox unit for an open filter is nearly as simple; get the correct replacement filter, unscrew the original airbox and screw the new one in place (following the directions which come with the replacement part). This is a 15 minute job, but still pretty simple and might have a noticable effect on performance (better throttle-response and 2~6 hp more). This looks something like: http://i42.tinypic.com/2yopqwj.jpg
(the purple filter being the aftermarket K&N air filter).