Make sure you put in the new filter the right way, with the arrow pointing in the direction of the airflow. It will not go in straight; you have to angle it for part of the travel into the compartment.
And be careful with the rectangular plastic cover plate over the filter. It comes out easily if you gently push the cover in the right direction (up) to free the tabs on the bottom. DO NOT break them off, or you'll have to order a whole new cover, which is more money than the filters.