Numerous factors play into this question. For example, if you have animals in the home, your furnace filter may need to be changed more often. If there is a lot of dust, or someone smokes, or perhaps you simply enjoy keeping the heat on regularly, the filter will need to be changed more often.
For the most part, a good rule of thumb is to change the furnace filter once per month. This allows for a completely clean slate while running your heating system. A clean furnace filter will allow the furnace to run more efficiently. Over time, your filter will become filled with dust and particles from the air, which then trap even more particles as it builds up. With a dirty filter, the furnace needs to kick into high gear and run harder, consuming more energy over time. This, in turn, will run up your monthly energy bill.
