A separate filter may be required if a DSL setup does not use splitters. For a splitter setup, the filter is built into the splitter. The filter is to protect the DSL signal from being contaminated by high frequency noise added by analog phone devices, answering machines, faxes and so on.
The filter is a low-pass filter. Note: there have been some reports of interference leaking to audible range on certain phone equipment after a phone line gets DSL added.