We sometimes want to define something resembling an infinitely small (or infinitely big) set, for example the infinitely small interval near $0$ on the real line. Of course there are no such set, just like as there are no natural number which is the difference $2 - 3$. To overcome this shortcoming we introduce whole numbers, and $2 - 3$ becomes well defined. In the same way to consider things which are like infinitely small (or infinitely big) sets we introduce filters.
An example of a filter is the infinitely small interval near $0$ on the real line. To come to infinitely small, we consider all intervals $\left( - \varepsilon ; \varepsilon \right)$ for all $\varepsilon > 0$. This filter consists of all intervals $\left( - \varepsilon ; \varepsilon \right)$ for all $\varepsilon > 0$ and also all subsets of $\mathbb{R}$ containing such intervals as subsets. Informally speaking, this is the greatest filter contained in every interval $\left( - \varepsilon ; \varepsilon \right)$ for all $\varepsilon > 0$.