Its a simple DIY maintenance item to do yourself. If you drive in dusty conditions, you really want to change it more often. Judge that upon the appearance when you remove it. You can buy the OEM cabin filter at the dealer or on ebay, or aftermarket filters at any autoparts store, or online.
If you can't find the instructions to replace this filter in a manual or online, some of the aftermarket filters - such as TYC, come with instructions. There are also youtube vids posted all the time that show this for many models - and they can show some of the little tricks that sometimes don't translate as well in a paper manual.
I'm with you on saving money on simple fixes. I change all my cabin filters for about $10 each, rather than a $80-100 charge at the dealer. I use the OEM parts until the basic warranty ends, then the cheaper aftermarket filters.