Think of a cigarette filter, or any other filter. It takes stuff out you don't want (or do want but pretend not to want). Whatever. Assuming you're talking about your mixer, there's often a low pass filter and a high pass filter.
The low pass filter means the low stuff will pass but the highs will be trapped and flushed down the toilet. E.g. if you are recording bass you might want to use the low pass filter so any hiss or other high frequency kaka is filtered out.
The high pass filter...yup the exact opposite. It filters out low frequencies--some low end boominess, rumbling, even low low stuff you can't hear because it's too low to hear but still puts a load on your recording media as well as on the playback system of the end user.