The oil filters used in vehicles are designed to filter engine oil, not heating oil. The heating system in modern cars uses hot water from the engine's radiator and a small fan to force hot air into the passenger section of the car, as of 2015.
Air is forced into an intake vent at the front of the vehicle and through the heat source. Once it is heated sufficiently, the air is then forced into the car's interior through vents in the foot wells, dashboard or through ducts that lead to the rear of the vehicle. This allows a vehicle's interior to achieve a comfortable temperature, even with all of the windows closed.