Mine does it because it hasn't got air conditioning yet, just a blower. If yours has air con it should be catching the larger stuff in the condensor like matty says, if not then just get some fly screen mesh and jam it in a joint before the blower. Dust is harder, maybe find a filter for something else cheap like a Commodore and jam that in instead downstream of the blower before the condensor, it'll give you piss-poor air flow though.