You just need to have the furnace serviced.
There is a filter. It’s called an oil filter and your least likely problem.
You really need to service oil burners every year. Two at most, depending on how many gallons you run.
You are not smelling CO. It’s odorless.
Your burner is not firing up properly and you smell soot because it’s igniting late.
It causes a big burp when it does that and you get that soot / diesel oil smell in the house.
Service guy will typically put a new nozzle, change the oil filter, check/clean or replace electrodes, and clean the flue. It all has to get done.
As long as it’s firing up your fine. Especially if it just started but get it serviced ASAP. Now you’ll be competing with people that have no heat because you procrastinated. Don’t F’k with oil burners. They HAVE to be serviced.
I used to do mine myself
Purred like a kitten.