A filter layer has filters like every other layer. The difference is that it doesn't effect its own channels, but those of the layers below. That means that if you have three layers and add a filter layer on top it will have an effect on all those layers.
You can also add masks to filter layers, like with any other layer.
You add filters to the layer the same way you do with other layers. Make sure you have the channel enabled that you want to add a filter to.