The '95 E320 (mine anyway) does have a dust filter. In fact it has two. They are about 12" long and 2.5-3 inches wide and their plastic housings are molded so that, when installed, they fit together (sort of like a tongue and groove). And they are located in the center of the car under the windshield wiper mechanism.
I may be the least experienced DIY'er on this list and I managed, with some anguish and unnecessary $'s to change mine last week.
Stu Ritters book has a pretty good "step by step" which was a big help (Ventilation, Dust Filter Replacing).