The engine air filter stops contaminants from getting sucked into your vehicle's engine.
Over time an air filter gets dirty and becomes clogged with contaminants. When this happens, intake of oxygen into the combustion chamber is impeded, causing the engine to run a more rich fuel mixture. When this happens fuel economy suffers, and the engine loses power.
Under normal conditions an engine air filter will last 20,000km, however, if you do mostly stop/start driving around town, it could last half as long.