There actually is a filter - whoever told you there isn't has been smoking some good pete
. Look underneath your car on the driver's side. There should be a pan that looks similar to your oil pan with a drain plug at the back of it. This is your transmission oil pan. First, go to an autoparts store and get a filter and gasket kit - the shop manual says to use RTV silicone stuff for the gasket, but a solid cork or rubber gasket is much harder to mess up IMHO.
Right, so you've got the kit. Jack up the front of the car, remove your transmission dipstick, and open that drain plug (make sure the fluid is still warm - maybe drive around a few minutes and then let it sit for 10 minutes.) Once the fluid is drained, take of the screws around that drain pan. Once those are off, you might have to work to get the pan off since the gasket has probably been on there since the car was new.
Now you should see the black filter. Remove the sensor-thingy carefully from the filter, and slowly pull the filter down to remove it (be careful, since it probably still has fluid in it). Push the new filter into place (if it doesn't fit, check the opening above the filter for an old o-ring or something from the original filter). Clean out the transmission fluid pan, then clean off both gasket mating surfaces, being careful not the make any deep gouges.
Put the new gasket on your pan (put some RTV "gasket-maker" down on the pan first to hold the gasket in place), then replace the pan and torque the bolts to 6-7 ft-lbf. DO NOT overtorque these bolts! Finally, replace the drain plug (with a new gasket - these can be had for like 20 cents) if you haven't already, and refill the fluid through the dipstick tube. If I remember right, I think mine took a little over 5 quarts. Make sure to use Mercon-V or equivalent fluid.
Once you've got the new fluid in, start the car, and shift through all your gears a few times. Then, with the car still running, check your fluid level using the "cold" mark on the dipstick. Then drive your car around the block a few times, then bring it back home and check the fluid again, this time using the "hot" mark on the dipstick. In each case, add more fluid if needed, and also make sure your gasket and drain plug aren't leaking. I would recheck the fluid a few days later just to be sure.
I think 30,000 miles is a good interval to change the fluid and filter. One thing to be careful of, don't ever let a shop or dealership "flush" your transmission fluid. This involves forcefully "flushing" fluid backwards through your transmission, and then forwards to remove any debris accumulation. However, unless this is done from when the car is new, doing it on an older car can remove some debris that may actually be holding parts of the transmission together, and can lead to more harm than good.